It would be very difficult to draw the comparison you're making because Mount Vesuvius erupted in 79CE and the area didn't become properly Christianized until the 3rd century. There is no evidence that I know of that the eruption of Mount Vesuvius caused people to lose their faith in the gods.

However, there was one episode during the Punic Wars with Carthage when the Romans did lose their heads and import a foreign god (or rather, goddess). During the Second Punic War (218-201 BCE), when Hannibal was kicking Rome in the butt, the senate panicked and consulted the Sybillene Oracle, who recommended that they incorporate the worship of Magna Mater, aka Cybele, an Anatolian mother goddess. Now this was a very interesting cult because it requires its priests to castrate themselves ceremonially. Also, they believed the goddess resided in a big black meteor, which was originally at Pessinos but which the senate dutifully had carted back to Rome. A lot of the Romans weren't thrilled to have the cult of Cybele in Rome, but they spun it like she was an ancestral goddess through Aneas and the Trojans, who came from Anatolia to found Rome. So there is an example of fear and tragedy causing conversions, just not in the case of Christianity and Mount Vesuvius.