First off, the Roman emperors were practical atheists. Religion was a matter of superstition; they didn't actually consult the temples of Jupiter or Venus to inform their decisions. They thought it was all hokum to placate the masses.
Second, they were utterly ruthless. Most of them ended up murdered and every murder was an occasion for a mass bloodletting where potential rivals, their families and supporters were all killed. As long as they reigned, they watched for signs of plots against them and mowed down suspected conspirators in heaps.
Third, they waged brutal wars against every nation on their borders. Sometimes these were wars against invading armies, sometimes they were was of conquest. Defeated armies were massacred or sold into slavery and captured cities sacked and looted.
That sounds like the actions of the Nietzschean Übermensch to me.
They were great singers, too!
Update: Clicking around the Interweb Tubes a bit, one finds that Nietzsche did indeed consider the Roman Emporers, but I can't quickly find whether or not he felt they were the incarnation of his Übermensch.