The game was part of the NBA Europe Live tour, which features three other NBA teams playing on the continent. The Suns will play two more games in Cologne, Germany, next week against the Philadelphia 76ers and another European team.
The Suns trained in the northern Italian town of Treviso for four days before coming to Rome.
Phoenix led from the start and only struggled when coach Mike D'Antoni pulled his starters midway through each quarter.
"We played our game," D'Antoni said. "Our speed was too much for them."
Marion scored the Suns' first nine points and Phoenix led 27-17 after the first quarter. Roma rallied on several occasions, but the gap remained about 10 points for most of the game.
Former Temple guard David Hawkins led Roma with 22 points.
The Suns have been scouting Hawkins, and D'Antoni said after the game that Hawkins is good enough to play in the NBA.
"It was extra motivation for me. That's the ultimate goal," Hawkins said. "Hopefully, I'll be there one day. The sooner the better. Right now I'm with Roma though and I'm concentrating on the Euroleague and the Italian league."
NBA commissioner David Stern sat courtside next to Euroleague CEO Jordi Bertomeu and Rome mayor Walter Veltroni, an acknowledged basketball fanatic.
Former Boston Celtics star Bill Russell received a standing ovation when he was brought out onto the court during a break in the second quarter.
Longtime European star Dejan Bodiroga used his trademark double pump fake to perfection and scored 17 points. On one of them, the Serbian faked out three-time NBA All-Star Marion for an easy basket.
"The years keep passing by, but it still works," Bodiroga said with a smile. "They controlled the game to the end but we got within four, six points. We did our best."
Over the course of a career in the Italian, Spanish and Greek leagues, Bodiroga has led his teams to three Euroleague titles and six domestic league championships.
"Bodiroga is terrific," Nash said. "He's so clever. It's really a joy to play against him."
After the game, D'Antoni, who formerly coached Benetton Treviso, thanked the fans in Italian on the public address system.
The Suns open the NBA season against the Los Angeles Lakers on Oct. 31 and this was their preseason opener. Roma begins the Italian league season Wednesday.