Shippou's got the right idea, I reckon. Romans were great engineers. But what the Romans really lacked was any chemistry. Heat engines depend on chemistry (well, you know, they're oxidising stuff), and need a fair bit of applied chemistry to be useful. There's corrosion issues too; and the need for oil.
So I'd introduce those brilliant Roman engineers to the ancient mixture of finely mixed saltpetre, sulphur, and charcoal. Gunpowder! That's what the Romans really lacked.
Showing the Romans gunpowder would stimulate interest to learn more about mixtures and substances that can contain stupendous amounts of releasable energy. Eventually, the startling properties of a lump of coal in this regard would be realised, and the Romans would build themselves engines.