"We are in the market."
Translation:Nos in foro sumus.
The locative is mostly used with names of cities, towns, and small islands (have one city or town on them). That is why Roma gets the locative.
There are a handful of words (or at least common words) that use the locative that are not in those categories. domus is one of them. humus and rus are two other ones that use the locative.