Nightmare Fuel - The The Gladiators from Capua provides a remarkably accurate description of the executions and contests in the Flavian Amphitheater, to include children being killed by wild animals. Perhaps not too bad for adults that have been jaded by watching things like Gladiator, but for little kids it could be a bit much.
Toy Ship: Lupus and Clio who become extremely close during The Secrets of Vesuvius.
What Could Have Been: There were originally going to be eighteen books in the series, but Caroline Lawrence had to cut the mystery that was to take place in Roman Britain because there was no room on her carefully plotted time-line for the four protagonists to travel there and back again between the historical events that she wanted them to be involved with.
The Woobie: Good lord, almost all the main characters and many of the secondary characters qualify.
Nubia stands out as the most compassionate and selfless character in the series while carrying the scars of losing her entire family, being captured by Venalicius and sold into slavery.
Lupus starts out as a hardened, mistrustful Jerkass Woobie as his parents were killed in front of him, his tongue was cut out and he was forced to become a beggar in order to survive.
Jonathan starts out alright despite his Missing Mum, but upgrades to Woobie status. His attempts to reunite his parents lead to him believing he's responsible for killing 20,000 people which he never forgives himself for and considers suicide more than once. To top it off his parents aren't really happy anyway and his sister dies leaving him to pick up the pieces of his broken family.
Gaius, Flavia's uncle: The woman he loved married his twin brother, he remained unmarried for years, lost all his home and savings in the eruption of Mount Vesuvius and though he finally fell in love again, he had less than a year with his wife before she died in childbirth.