The last to call themselves Romans are an interesting story.
In October of 1912, during the First Balkan War, the Hellenic Republic annexed several islands, notably one called Lemnos. When the Greeks first sent government officials and a few dozen soldiers to the islands, the people of the whole island of Lemnos gathered to see them. The officials went inside, but the guards outside were confused, and summoned their commander, who asked, loudly, to the whole assembled crowd, “What have you come to look at us for?”
The audience was silent for a long minute. They looked at one another and said nothing. Suddenly, a young child stepped forward - no more than five or six. “We have never seen Hellenes before, sir!” A few adults nodded. The commander was confused; he asked, “Are you not yourselves Hellenes?”
The child answered again, quickly, before the adults could stop him. Lacking that strange restraint of maturity, he said, “No sir! We are Romans, maybe the last.” The children laughed at the commander’s mistake, and a handful of adults joined in. A child’s tongue tells truths no one else will.
That seems to me like an apocryphal story. I have never heard it before.
