Note they used hrōmāy (Roman) in spite of him being Greek, possibly due to Hellenic influence on Roman civilization.
Accursed cause he burned the original Avesta and plundered ērān-šahr (country of Iran) and moved all its gold to the original homeland.
Fun fact, in Persian, the name of the country Greece is Yunan referring to the Iona region in western Anatolia (current day Turkey).