If I remember correctly, they didn't know or understand the phenomenon of volcanoes. There weren't really any other large eruptions that I can think of in Roman times, and so Vesuvius was pretty unique in its day. Pliny continually refers to "that terrible mountain" or something along those lines because he didn't have a word for a volcano, and, in Pliny the Younger's account, his uncle always behaves as though he doesn't understand the phenomenon; Pliny says that his uncle considered it "something great and worthy of closer investigation."
So I think the Romans didn't know what a volcano was (aside from isolated natural phenomena like Etna, and this isn't to say that I doubt that there are other accounts of flaming mountains here and there in sources like Pliny the Elder or Diodorus), and certainly didn't know about the possibility of large scale eruptions of that sort.