David Drake, Vettius and His Friends
Great series about a Roman officer going around being a troubleshooter for the weird and mysterious. Amazon. David Drake's Page
Also, he has another book called Killer, but instead of the supernatural, this one is an alien escaped from its keepers.
Both are out of print, but you might find them for free on the Baen Books page. A game based on them would be more episodic, think weird mystery of the week with a recurring cast.
For Rome (and then Hundred Years War English) meet Cthulhu as he is rising....the Ranks of Bronze series, which you can get electronically, but that is the aliens buy some legionnaires being sold as slaves after one of the big defeats and using them for low tech warrior slaves.
I just got, but haven't read the Dark Osprey book about the Cthulhu Campaigns in Ancient Rome but the USA book is pretty cute.
EDIT: Okay, I glanced over the Dark Osprey book quickly. It is definitely big picture, but you could probably use the stuff in there to get the core background for several campaigns.