Diocletian, in order to increase the number of native-born Roman citizens, defined as crime intentional celibacy among women. All Roman women of suitable age were commanded to marry and, if possible, produce young. At the same time, Diocletian persecuted Christians. The legend of Antonia and Alexander has the former being forced to a brothel (the penalty for women who refused to wed), where a Christian soldier named Alexander came to her in the guise of a customer. Instead of taking her virginity, he traded clothes with her, allowing Antonia to escape. Alexander was discovered very soon after, and both Antonia and Alexander were executed by being burned alive.
"Antonia" and "Alexander" may be mnemonic device names that made oral repetition of the tale easier, and so it is possible, if not likely, that they are invented names. Whether Theodora and Didymus were the originals or not, it is possible that these legends are shadows of an actual martyrdom that had been lost to the story tellers. The feast day of Antonia and Alexander in the Roman Catholic Church is May 3.