Yes, we do.

In short, the Romans called the letters of the alphabet by sounding their sounds, with the addition of a vowel if needed.

Vowels were sounded long when referring to them in isolation: ā, ē, ī, ō, ū.

Plosives take a vowel after them: bē, cē, dē, gē, pē, tē, with k being rendered as cā and q as cū.

Continuants tended to be rendered with a short vowel preceeding: ef, el, em, en, er, es. x was typically ex, but ix by analogy to Greek, and also xi on analogy to later Greek, are found.

h if named is hā. The other borrowed Greek letters are y and z. The former was named variously hy or ī graeca later on, whereas the latter is given its Greek name zeta.

For this data in summary form, see W. Sidney Allen, Vox Latina,(2nd ed. 1978), p111-115. For a longer treatment and fuller sources, consult A.E. Gordon, The Letter Names of the Latin Alphabet (1973)