Well, we have to realise that there was such thing as marriage customs in the Late Roman Republic and in the early Principate. They were not written down, there were no laws for that but that does not mean that the Roman Marrige Customs were not important and were not obeyed and followed.
And there was such thing as a 'proper Roman wife'. I remember that in the 1st century AD the Roman legionaries, settled after retiring somewhere in the provinces, took great pains to get a 'proper Roman wife' with a good Roman background - that was usually a girl from Italy. And that marriage was usually arranged by the legionary's relatives back home or by his friends and their relatives (usually 'proper Romans' as well).
The point here is that there were a lot of Roman citisens in the provinces - some Syrians, Greeks, Armenians, Numidians, Belgs, Germans you name it who received their Roman citizenship from the Roman state / emperor, but some of them did not even speak Latin and were culturally alien to the retired Roman legionary.
So marriagable girls/women from these provincial " new Roman" families did not quite fit, did not quite qualify. They could not make "proper Roman wives". It seems that the retired Roman legionaries wanted their children be 'true Romans' born by a true Roman man and a true Roman wife.
And here we are speaking about the common people, ordinary Romans, simple folks, plebs.
If we are speaking about Julio-Claudian dynasty here we are dealing with the Roman elite, aristocrasy, upper strata of society. And among them the acute sense of "True Romannes" was even more stronger and marriage customs were even more rigid.
The point here is the same as with the plebs - to be considered 'true Romans' your legal children better be borne from a 'proper Roman wife'. Of course if you are from senatorial class and you have financial problems you can marry a Roman girl from a rich plebean family, but it'd better be an ancient Roman/Italian plebean line. In the late Republic and Early Principate I don't remember any true Roman aristocrat (from an ancient Roman bloodline) having a legal wife from some royal foreign bloodline - that would mean kind of spoiling his own bloodline, even disgrace, I guess it was unthinkable.
Of course a Roman (male) aristocrat had a God given right to have sex with foreign kings or/and queens (IIRC Caesar had both) and he might even call it a marriage for a bigger excitment and fun and there might be even children from these alliances. But these kids would be bastards, illegal and (which is even more important) not exactly "true Roman".
And that's why the Julio-Claudians would have avoided marrying Julio-Ptolemaic or the Antonine-Ptolemaic line.
Well, Ptolemaic being the royal and foreign line made it even more unacceptible for the princeps taking great pains to avoid any hints at royal nature of the emperor's power and stressing the 'true traditional Roman' nature of their rule.
