No. The options you have for regional settings controls how the short and long times are formatted in terms of hours, minutes, seconds. It doesn't allow you to change how numbers within the hours, minutes or seconds are formatted which is what you'd need to be able to do in order to change to using roman numerals.
I'm not really even sure how you'd display 12:34:56 in roman numerals especially since 0 isn't representable in roman numerals. It starts at 1 so midnight wouldn't be representable.