Map of the Roman Empire-Thessalonica. Thessalonica. L-5 on the Map. Ancient Thessalonica - (Thessaloniki) formerly `Thermae' (hot springs). It was named after wife of Cassander of Macedon, she was the daughter of Philip and sister of Alexander the Great.During the Roman Empire Thessalonica was the capital of Amphaxitis, Macedonia, and it was a large and flourishing city.uring the first three centuries of the Christian era, Thessalonica was the capital of the whole country between the Adriatic and the Black Sea; and even after the founding of Constantinople it remained practically the metropolis of Greece, Macedonia, and Illyricum.