Saints Julius & Aaron

With St Alban, Ss Julius and Aaron are the protomartyrs of Britain who, it seems,  lost their lives in the persecutions of the Emperor Diocletian in or around the year 304.

They are mentioned by Gildas in his De Excidio et Conquestu Britanniae:

...He, of his own free gift, kindled up among us bright luminaries of holy martyrs, whose places of burial and of martyrdom, had they not for our manifold crimes been interfered with and destroyed by the barbarians, would have still kindled in the minds of the beholders no small fire of divine charity. Such were St. Alban of Verulam, Aaron and Julius, citizens of Caerleon * and the rest, of both sexes, who in different places stood their ground in the Christian contest..... 

* Sometimes (mis)translated as Carlisle; St Bede in his account of the British martyrs says Chester - each, of course, a Roman legionary settlement (castra legionis)

A reconstruction of Roman Caerleon - photo & article: WalesOnline
Interestingly, the newspaper article reports recent archaeological work 
which bears out Giraldus' observations

One local tradition makes Julius  & Aaron Roman soldiers, martyred in the amphitheatre of the Roman legionary fortress of Caerleon. Giraldus Cambrensis, writing in the late twelfth or early thirteenth century, confirms that two churches in medieval Caerleon - still recognisably Roman at that date -  were dedicated to them:

"...Caerleon is the modern name of the City of the Legions. In Welsh ‘caer’ means a city or encampment. The legions sent to this island by the Romans had the habit of wintering in this spot, and so it came to be called the City of the Legions. Caerleon is of unquestioned antiquity. It was constructed with great care by the Romans, the walls being built of brick. You can still see many vestiges of its one-time splendour. There are immense palaces, which, with the gilded gables of their roofs, once rivalled the magnificence of ancient Rome. They were set up in the first place by some of the most eminent men of the Roman state, and they were therefore embellished with every architectural conceit. There is a lofty tower, and beside it remarkable hot baths, the remains of temples and an amphitheatre. All this is enclosed within impressive walls, parts of which still remain standing. Wherever you look, both within and without the circuit of these walls, you can see constructions dug deep into the earth, conduits for water, underground passages and air-vents. Most remarkable of all to my mind are the stoves, which once transmitted heat through narrow pipes inserted in the side-walls and which are built with extraordinary skill.
Two men of noble birth, Julius and Aaron, suffered martyrdom there and were buried in the city. Each had a church named after him. Next to Albanus and Amphibalus, they were the most famous protomartyrs of Great Britain. In former times there were three fine churches in Caerleon. The first was named after Julius the martyr: this was graced by a choir of nuns dedicated to the service of God. The second was founded in the name of Saint Aaron, his comrade: this was noted for its distinguished chapter of canons. The third was famed far and wide as the metropolitan church for the whole of Wales. Amphibalus, who taught Saint Albanus and instructed him in the true faith, was born in this place. .."
Itinerarium Cambriae V