Yes, considering the Rome controlled Egypt by 30BC, and the Pyramids were there since 2000BC.

The Romans knew about Egyptian pyramids, and even built pyramids in Rome.

The Romans managed to build two Egyptian style pyramids in Rome, (not as large as the Great Pyramid, but pretty big).

The two pyramids in Rome were once called the Pyramid of Romulus and the Pyramid of Remus. The larger Pyramid of Romulus was torn down to re-use it's marble in the construction of St. Peter's.

The Pyramid of Remus is called the Pyramid of Cestius today, as we know from inscriptions that it was built as a tomb for a Gaius Cestius Epulo sometime between 18 and 12 BC. An inscription says it was built in 330 days. It is 29.5 meters on each side, and 36.4 meters high, built of concrete, bricks and marble.

(Compares to the Great Pyramid dimensions of 230 meters on each side and 146 meters high).

http://www.ancient-origins.net/news-ancient-places-europe/what-pyramid-doing-heart-rome-003035

Not only did the ancient Romans know about the pyramids, they were a tourist attraction, complete with tour guides. Wealthy Romans could afford to travel, and Roman control of the entire Mediterranean basin meant it was possible and (mostly) safe to travel throughout the Empire. The sphinx was popular enough during Nero's reign that there was an official effort to clear sand from the monument. Roman tourists also left graffiti on the sphinx and pyramids.

See Tony Perrottet, Pagan Holiday.