"The ancient gladiators fight in Rome."
Translation:Gladiatores antiqui Romae pugnant.
In Romae is never used.
The preposition in is used either with the accusative or the ablative.
Names of cities, towns, small islands (small enough to only have one city or town), and a handful of other nouns use the locative case instead of a preposition like in. Roma is the name of a city so we use the locative case Romae without any preposition to say 'in Rome'.