A RPG set in the Antiquity would be awesome. You have loads of material to choose from, from Rome to Mesopotamia, passing by ancient Greece or even the Egypt of the Pharaohs (hey, if medieval RPGs can have not-Celtic barbarians and not-Rennaissance Italy coexist, Romans and Pharaohs isn't much worse).
It's eminently conceivable, as the final stages of the Pharaonic Egyptian civilization and the Roman Republic and Empire overlap in time. One of the main religious and cultural centres of ancient Egyptian civilization, the great temple of Isis at Philae, was only closed down by the Emperor Justinian in the 6th century AD.
Egyptian cultural traditions and influences also persisted in its independent sister culture in the Kingdom of Meroe and its successor states, which were contemporary with the Hellenistic empires and Rome (Republic, Principate and Dominate periods).
The big issue with plunking down cultures or cultural elements from different regions, periods and civilizations together is not so much that they can't conceivably co-exist, but that they don't 'relate' to each other in a believable manner. Technology is one thing ('wait, why do these people still live in the Stone Age while their neighbours have arrived in the Renaissance, and both groups have been neighbours for a millennium or more?'), cultural styles another.
Cultures influence one another, and gradual transition, not radical breaks are the norm. Exceptions occur when, for instance, you're dealing with a pair of two very different cultural traditions whose areas of origin are distant from another and who have expanded towards one another, displacing or assimilating any intermediate cultures.
In a world with both Romanesque and Egyptian inspirations, for instance, you would get things like this...

Horus as a Roman general...

Horus on horseback
And so forth...and Egyptian obelisks, pillars and temples, perhaps in modified forms, appearing in 'not-Graeco-Roman' cities as decorative elements or in the form of temples celebrating 'not-Egyptian' gods.

Pompeii mural
Unfortunately, fantasy RPG's (both pen & paper and videogames) often prefer the use of drastically different stereotypes next to each other, even if a more subtle, transitional approach is more believable and can also add significantly to the depth and complexity of the setting.
A note regarding TW3's Skellige: At first sight it might look odd ('Vikings next to late medieval Novigrad'), but CDPR did their best to give it a material culture that is pretty much in line with the more remote areas of 1200-1400s and early modern northern Europe. Longships were in use in Scandinavia until the 14th-15th century (its direct offshoots, the Hebridean and Irish galleys, until the 17th), Skelligers wear chainmail, lamellar and brigandine armour (all found in the 14th century Battle of Visby mass graveyards) and the decorative styles you see were still present in the high to late medieval periods, though gradually dying out.
The things that are 'off' about Skellige (in my opinion) is that it's too far south and too close to the Mainland kingdoms to be believable as a cold, harsh, culturally distinctive nation - it should have been more remote and further north, but CDPR have Sapkowski's clunky worldbuilding to thank for this.