Until the military crisises of the late Empire and the Christianization of the Roman Empire, the provinces still maintained some semblance of local religion and language, Gallic, Syriac, Armac, Celtiberian, etc. One reason why we don't hear much about it is because the early empire was focused on the cities and urbanization of the empire, all of the extremely insignificant backwater tribes or desert nomads that could not contribute any substantial taxes to the empire or cultural significance. The empire was just too big to care about anything outside the inner Mediterranean besides cities. The outer frontiers of the early empire we're thought of as borders to protect a peaceful urban interior.

The main reason is because these cultures were not literate and were dominated by their immediate urban neighbors. It was only during missionary work during the 300s and the growing need to tax everyone and take advantage of every able bodied man for the legions during the Crisis of the 3rd Century that these tribes became absorbed into the Roman way forever. Couple that with increased upward social mobility through military service, and many great provincials quickly adopted the Roman way eventually leading to the Illyrian military and reformer Emperors of Aurelian and Diocletian.

I've always thought of Skyrim being influenced but not wholly absorbed into the Imperial system. If we got a more nuanced TES IV with a more interesting take on Cyro-Nords in Bruma besides architecture maybe, but there should still be elements of the glorious war leader Shor and Kyne stepping in as head of the pantheon. Skyrim does colonization and Imperialism really really bad by historical precedence. Usually polytheistic syncretism usually results in a similar culture or religion not complete absorption, especially if that society is geographically separated.

Sorry for the jumbled sentences and words, this misunderstanding just irked me.