I kept an Invictus campaign going for a very long time, and so it needn't be a one-trick pony; whatever poor thoughts I have on it can be found on the blog I did back in the day. Lindsey Davis has kept the Falco series going for years now, and the main detective characters in that were, among other things, ex-scouts discharged from a legion; many of those stories can be given a 'Mythos twist.' There are also a goodly number of horror stories set in the Roman era, especially Roman Britain.
1. One of the things that served me well was to look around in the literature--the historical literature, the fictional literature and the other CoC scenarios, and then to find a story I liked. I then accepted that as 'historical truth', no matter how improbable, for the game world. Now, having done that, one can ask the question, is there a scenario in anything that would have happened before (to bring the story to that point) or afterwards (to carry the story on beyond that point.)
Example: Simon Scarrow has an adventure novel, Eagle's Prophesy, I think it was, in which the heroes, operating in the time of the Emperor Claudius, have to obtain a dingus, formerly owned by Antony and Cleopatra, which was recovered and then lost by a Roman agent in Egypt. Now, that forms the basis of that story, and if we accept it as "historically true for our world" that has to happen. But now, how did the dingus come into the possession of the agent in the first place? Ah, now that can form the basis of an adventure.
2. Barbarian frontier has some potential. I used it in the later part of my campaign, the frontier in question being Germania. Maps are not too hard to come by--the Barrington Atlas will give you a very good province level map and there are lots of online resources to tell you what was where. It is an expensive beast however, and so better to find one at a nearby university library or ask for it on inter library loan. I cut out one scenario from the campaign and submitted it to a Chaosium contest, where it was published as "Three Maidens of Bingen." That scenario came rather late in the game however, in part because the players ducked and weaved from it for weeks.
3. My players had some character ideas already, and so I did not use a legionary style campaign, I worked with each player to draw up a character. (The legion pretty much stays put, and my crowd likes to move too). Instead, to draw the party together, I used an NPC patron, or rather potential patron, who needed help and who had somehow heard of the characters. That is old, and tired, and trite, I know, but that doesn't mean it is bad, and if one puts some effort into the characterization, one can make old and tired and trite work for you.
3.a. I deliberately didn't make that NPC patron too powerful. The investigators were starting characters. What sort of patron would use such non-entities? A not very important, not very powerful individual. Thus, Lucius Calpurnius Agricola, aged perhaps 20, if that, probably less, who was a member of the board for letting road repair contracts. We shall come back to that board in a moment. He has what is, to him, a very serious problem, but what is, to anyone else, a not very important problem, so he has to rely on any help he can find--enter the investigators. Of course, this minor matter quickly spirals downward. Hold that thought too.
3.b. Even though the NPC patron is a fictitious character, we can attempt to root him in real, actual history, based on where we think our campaign is going to go. In this case, to develop Lucius, I opened up the Invictus setting book to the list of gens names, closed my eyes, and put my finger down on the page. "Calpurnius."
The next step was to quickly look up the gens name on Wikipedia. There are a number of prominent members in prominent branches of the family in the Republic, and early empire, most of whom come to bad ends. However, we also find Sextus Calpurnius Agricola, governor of Germania, governor of Britannia, and finally, doer of something or other not clear what in Dacia and Moesia during the germanic wars of Marcus Aurelius. Since this guy is cool, off to the library to find out more about him, but in the mean time, Lucius can provisionally be his nephew, (father of Lucius sadly deceased to prevent difficulties).
4. Now, back to the problem of the board of road contractors, and the problem Lucius has. One of the mystery novels I had read some time ago, I think it was Lindsey Davis' The Accusers, had as characters a father and son, the father, a crooked road contractor, and the son, on the board letting the contracts. This has potential, so I kept this element. Now, to distinguish our story from that story, who would be interested in investigating such a pair? Well, certainly the son's successor on the board, who can look into the accounts to make a name for himself. Hence the job for Lucius. Now, in the original story, the father ends up with a serious case of death, at the hands of his family. So we shall add that in as well, and that can with some re writing, give us our mythos twist. Instead of simply having the father murdered, the investigators will find him in the burnt out ruin of his home, naked, tied up, throat cut, on the tipped over remains of an altar. That should do. This would make the father rather difficult to find, and so Lucius, none too bright, has lost track of him. The son has disappeared as has the father's second wife, and her brother.
5. The library is your friend. The scenario almost writes itself out of the sources and the fiction.
