"We come from Rome."
Translation:Nos Roma venimus.
That's right, and the same group of words (city/town/small island NAMES, and domus and rus) use the accusative case for "motion towards" without the preposition ad.
Roma (abl): from Rome. Romae (loc): in Rome. Romam (accus): to Rome.
Edit: It's not a rule for PLACE NAMES per se; rather, for NAMES of cities/towns/small islands (only big enough for one town or city). Names of countries, continents, and large islands (like Sicilia and Crēta) use prepositions.
Ab before vowels (and the letter h), a before consonants. Ab urbe (from the city) but a villa (from the country house). Two forms of the same preposition (there's also the form abs ).
(But no preposition needed in this sentence, since it's "from ROME," and "Rome" is the NAME of a city/town/small island; these don't use prepositions for the directions TO and FROM, or for the location IN.)