They did not have the precursors to it, such as a lathe. Steam engine technology evolved out of cannon technology, which was developing for centuries before the steam engine. (The lathe also came about from cannon improvements.)
Early engines were used to pump water out of coal mines because they were very inefficient and transportation was very expensive.
Of course Romans actually had coal mines in Britain and the Rhineland so it wouldn’t have been entirely fat fetched.
I keep thinking of a primitive printing press, but the Romans didn't have paper, either. Paper didn't appear in Europe before 1000 AD.
Papyrus was also inferior to paper in that it tended to come apart when wet, or would just come apart.
Unless kept in very good condition scrolls might last only a few decades. As far as we can tell many ancient texts were lost well before the Roman Empire declined because they weren’t popular enough for anyone to bother copying them.
https://en.m.wikipedia.org/wiki/Aeolipile
They had a Lathe too.
But they did not have a metal lathe, which is substantially more sophisticated. Invention of the metal lathe is credited to Henry Maudslay around 1800.
While steam engines with pistons existed before, the poor sealing because of inaccurate bores and pistons, made them not very efficient.
What an awesome invention!!!