I just had a flashback of playing this game a loooooong time ago... I'm 80% sure it had EGA graphics (the sky was black... all the time.) You played as some guy in Rome, and wandered around... It was an adventure game, and all I can remember clearly is

A. Going to a bath house
B. Getting stabbed (maybe you played as Caesar?)

*edit-spelling*

http://www.if-legends.org/%7Eaimemorial/perseus.htm

That isn't it, if it helps.