The only Ancient "steam engine" was the aeolipile of Hero of Alexandria. It is worth noting that this was a Roman, not Hellenic Greek, development. It is hundreds of years after the end of Classical Greece, which seems to be what you have in mind.

The aeliophile was a toy that, at best, illustrates a principle. It cannot be used for anything practical; it is too inefficient. I cannot personally imagine how you would use it for sexual purposes without burning yourself; though perhaps one can never underestimate human ingenuity in these matters. This sounds like a silly myth to me.

One could certainly imagining developing the principles of the aeliophile into something more like a "real" steam engine of the sort that emerged much later. But this is not how the Romans considered it; they were not interested it in as anything but an amusement or curiosity. One can ask, "why not?" but that is a long answer about what the conditions for thinking a steam engine would be useful might be, and why the Mediterranean context (nor any other context prior to England in the late 17th/early 18th century) did not provide them.