Just some things I picked up on, hope you don't think I'm too pedantic
Ok, first of all, make your mind up what you think of the guy. One minute you're criticising him for being a heathen and a magician, and having a "pretentious aurora" (I think you mean aura) and then you're expressing sympathy for him. You also casually dismiss his promotion of a false deity, when in reality that would have been considered a heinous crime.
Also, you switch between tenses too often - initially he's a fugitive on the run, then suddenly they've caught him (in present tense) and then you describe the execution in past tense. I suppose that could make some sort of sense if it was a diary, though if it is then you should make that clearer, and remove phrases that suggest time change, like when you say "a day later..." in the bit about Judas.
I would also say that there is a discrepancy in the general style of writing. You use fairly modern phrases such as "the poor guy" and "fugitive on the run" in contrast with more archaic sounding sentences like "I know not what I should do." It feels like you're writing from the persona of an elderly Victorian English man, especially with words like "fellow", although that's just my opinion more than anything.
Lastly, you give no clear reason why he died - initially people find him "annoying", and you don't want to punish him for being "entertaining", then you casually say he has commited crimes against Rome "on the one hand" as though there are any other factors you should be considering as a judge. And in the last paragraph you appear shocked to hear about "lies" propogated by Christians that he was the son of God, yet finish the piece with a comment that he died because he said it was for everybody's sins, as though you knew that all along.
And whilst obviously the whole thing is fiction anyway - what with there being no evidence of Jesus at all - it might be worth noting that there was never a law that said Christians would be fed to lions.
“People think they have taken quite an extraordinarily bold step forward when they have rid themselves of belief in hereditary monarchy and swear by the democratic republic. In reality, however, the state is nothing but a machine for the oppression of one class by another, and indeed in the democratic republic no less than in the monarchy.”
- Friedrich Engels