Fordham does have a reasonable selection of Roman historiography, though it's rather thin for anything after the 1st century CE. That bit's easy: the more specific part of your question --

containing first records/reactions of newly explored lands?

is the bit that's hard to parse, because 'first records/reactions' aren't a thing in the corpus of Roman literature. The world that the Romans were aware of was pretty much all a world that was either already described in existing books, or where the sources that do survive aren't ones that were written by actual surveyors.

There are ethnographies and geographies, though. Caesar's Commentaries, especially book 6, are to some extent a firsthand account of ancient Gaul -- though certainly not a 'first report/reaction' -- and there's Tacitus' Germania, written at a much greater remove. Both are linked at the Fordham site. Egeria's account of her pilgrimage to the Holy Land in the 4th century might also fit the bill, in a different way (here's an old translation at the Internet Archive). Strabo and Ptolemy -- also on the Fordham site -- weren't Romans, but their geographies do act as a benchmark for the state of Roman knowledge of the world (though in Ptolemy's case it isn't exactly a gripping read, just a catalogue of map markers with their latitude and longitude).