I might have some dates wrong in my head, but I recall reading somewhere that in at least one Saga, Odin and the Aesir were explained to be an actual historical tribe, with Asgard being where they settled after fleeing Roman expansion. Is this actually attested anywhere, or am I just repeating an unsourced and unsupported claim? Anything I try to look into regarding connections between Odin and Rome focuses on the worship of Wotan in Germania, rather than how Rome shaped Scandinavian mythology, which is what I'm looking for.
I realize that this definitely sounds like a modern construction trying to weave together popular historical civilizations, which is why I doubt my memory of it.
It sounds like the famous 13th century account of Scandinavian pre-history, Snorri Sturluson's Heimskringla (or its beginning, Ynglinga saga, Ch. 5):
"A great mountain range runs from the north-east to the south-west. It divides Svíþjóð in mikla from other realms. To the south of the mountains it is not far to Tyrkland (Land of Turks, Asia Minor). There Óðinn had large possessions. At that time the rulers of the Rúmverjar (Romans) travelled widely around the world and conquered all nations, and many rulers fled their lands because of this aggression. And because Óðinn had prophetic and magical powers, he knew that his descendants would inhabit the northern region of the world. Then he appointed his brothers, Vé and Vílir, to rule Ásgarðr, while he, and all the gods with him and many other people, left. He went first west into Garðaríki (Russia) and then south to Saxland (Germany). He had many sons. He made himself king over large parts of Saxland and established his sons there to guard the land. Then he went north to the sea and took up residence on a certain island. That place is now called Óðinsey (‘Óðinn’s sanctuary’; Odense) on Fjón (Fyn)......" (Translation is taken from: [Finlay & Faulkes trans. 2011: 8])
Virtually all of researchers now, however, interpret these passages not as a reflection of Scandinavian memory of the distant past, but as a later reconstructed legend under the influence of medieval historical writings, namely based on an euhemerism and Trojan origin myth (Concerning these jargons, please check /u/Platypuskeeper's explanations in: How much do we actually know about the ancient religious traditions, deities and narratives of the Norse?)
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