Legion territory would likely be split into different states led by former legates that fought each other for control after Caesar died, so it's possible that your nation came to be that way. Maybe it was a nation started by former slaves that looked to guidance in a sun god. Or a Legion commander that had converted to the cult at some point and established a state with the religion at its head. There are a lot of possibilities, and it fits more with the former Legion territories. We could use someone not-NCR in the west, anyway.