Not to an academically rigorous degree, lol, but basically speaking it is clear from the known history of the region under Roman rule and the fragments of early records in non-Roman churches is that when Christianity was still a Jewish sect it found such fertile ground because it was specifically a rebellion against Roman rule and heirarchy. A non-violent one under Christ, supposedly, but one that inherently criticised Jewish collaboration with Roman rule.

Keeping in mind at the time just refusing to worship the Emperor as a god was treason, which is a bit of a problem to a monotheistic religion that damns you for doing so, but in the time Christ was preaching and later when the Apostles were running around converting everyone in earshot Judaea was working itself up for a massive rebellion against the Empire that would come to a head in The First Jewish Revolt.

Very long and blurry story short, in the three centuries between the death of Christ and the spread of his cult in the Jewish diaspora and then the oppressed underclasses of the Roman slaves and plebiscite, and quite a lot of repressed revolts against Roman rule, the canonization process of what would become the most popular Christian dogma would cease to be so explicitly anti-imperial as the early Catholic Church centered on Rome chose to whitewash anti-Roman sentiment to avoid persecution and, with luck, become more broadly appealing to their neighbors, along with their embrace of syncretist practices such as the co-opting of Mithraist rites to help convert the Roman military arms.

And, of course, it worked. By becoming a force of the Roman heirarchy instead of a critic the religion of rebels would eventually become the state religion of Rome, and thus Europe.

TL;DR when a Roman asked a non-violent cult leader preaching a doctrine that was explicitly treason in at least one way whether he was rebelling against Rome, not wanting to be executed but also not wanting to lose his followers he answered with a dogwhistle.

You can hear the quote in two ways with two answers:

What is Caesar's to a Roman? Everything.

What is Caesar's, false God, conqueror, and oppressor to a Jew? Nothing.