I'm going to go with "heavy metal history" to make a song. No, the Romans never got to Ireland.
There is the Book of Invasions, written down by monks, that chronicles a series of invasions of the island over the course of a mythical prehistory. The last supposed invasion was the Sons of Mil (regular humans) and they were supposedly from Spain. But that would have been long before Conchobor, as he would have been a descendant of the Sons of Mil.

This is a just a garbled bunch of references to a number of notable characters and events from Irish history and mythology. It doesn't really make any sense but is roughly an attempt to incorporate mythology and spurious history into a linear story ("heavy metal history" as /u/NaptownBoss described it). To go through it line-by-line:

The first few lines deal with an invasion, or raiding party, into Ireland by the 'Latins' (presumably the Romans). Whilst the Romans never conquered Ireland they certainly knew of it (calling it Hibernia) and traded with it. Whether or not they actually set foot in it is unknown but it seems likely that at least a few scouts would have, given the relatively short distance between the two lands. The evidence for a full scale invasion is severely lacking, though there may have been raids or even a small military outpost (others in this thread have dealt with this in more detail). There was however a supposed high king Túathal Techtmar who was exiled from Ireland and later retook his throne by force around AD75-80. We know from Roman sources (Tacitus) that when Agricola was the governor of Roman Britain AD78-84 "one of the petty kings of the [Irish] nation, driven out by internal faction, had been received by Agricola, who detained him under the semblance of friendship till he could make use of him". Tacitius also mentions that Agricola was interested in controlling Hibernia as he thought it could be of strategic useand believed it relatively easy to do so. There's a conspiracy claim therefore that Túathal Techtmar had an alliance with the Romans to retake the Irish throne, but it's nothing more than conspiracy really.

The "Ursu, son of Bran" part is probably a reference to the mythological hero from "The Voyage of Bran" which details Bran's journey in a boat to several mysterious lands, somewhat like the Odyssey. There is no mythological reference to any sons he had and the name Ursu doesn't appear in any texts I've read (I can't even think of an Irish male name that begins with "U") so it's likely the band just made it up.

Ireland before the Gauls likely refers to the inhabitants of the land before the arrival of the Celts in Ireland from Northern France around 500BC. In Irish mythology the land was inhabited by the Tuatha De Danann (a magical race) before the arrival of the Milesians (humans).

Conchobar MacNessa was the king of Ulster in the Ulster Cycle, one of the four important "cycles" of Irish mythology. That series of stories is set around 1st century AD, but wasn't written down until medieval times.

So the band is telling a story of the Romans invading and putting in a smattering of references from mythology for good measure.

Sources:

The Life and Death of Julius Agricola - Tacitus. Various book from Irish mythology such as Lebor Gabála Érenn / book of invasions, Táin Bó Cúailnge / Cattle Raid of Cooley, The Voyage of Bran etc.

• These stories originate from the Iron Age, when the culture was pre-literate. Ireland didn't have a writing system until the Christian era with the invention of Ogham Stone, and later when the Latin alphabet was used to write Irish. So these stories were part of an oral tradition and were not physically recorded until Christian monks wrote down the stories. As the stories were of course pagan in origin, the monks felt that they needed to spread a veneer of Christianity over the stories. Often the Celtic deity or figure that was mentioned in the original story, was replaced with a Christian saint, or major figure like Jesus. This would explain why Jesus was brought into a story.

• Cú Chulainn is a major figure is Irish legends and Bran was one of his loyal dogs. I think it's also a form of the name 'Brendan'.

• The Latins probably refers to the Romans, although they never properly invaded Ireland like they did other countries, although there is growing evidence of trading between the Irish and the Romans in Britain. It could also be getting mixed up with the Normans (who invaded Ireland a millennium later) who adopted a Romantic (Latin) language.

Sources: http://homepage.eircom.net/~shae/chapter7.htm http://en.wikipedia.org/wiki/Hibernia

Edit: Formatting

Slough Feg was a character in the "Slaine" strip in 2000AD, a British comic. As far as I know, he didn't correspond to any real character. Certain incidents in the strip correspond very loosely to the Book of Invasions, but my guess is that this is just historical fantasy.

I have heard this story about Connor MacNessa before. I actually heard it from my father because our family is supposed to be descended from him, despite the fact that he's a mythical figure. He was a High King (Ard Righ) of Ulster. This is the same Conchobor from the Ulster Cycle mentioned in the song. He was supposed to have been born on the same day as Christ and died on the day he was crucified, when a stone lodged in his head exploded.

I also remember there was supposed to be some connection between Connor and the Romans. See this for a description of Connor's death. From Kuno Meyer, The Death-Tales of the Ulster Heroes - 1906.

By the way, this is all mythology, not history. See the Ulster Cycle for more details.