Pagan Roman republic state outside Europe

Is it possible that some people with strong Pagan Roman beliefs would have fled after the official adoption of Christianism in the late 4th century and established a Pagan Roma republic far from the new Roman influence, maybe in the Canary Islands or other isolated and low-populated area?
 
Something like the Mormons?
Don't know if there will be enough religious fervour for that.

Or the fact that most pagans in this period were rural peoples practicing their traditional religions. Which has to be remembered, persisted in some way or another for centuries after the fall of Rome before they really became Christian. And even then, odd syntheses kept going for centuries after that.

Christianity was primarily the religion of the cities.
 
I'd say more divisions between the emperors about which brand of Christianity to support leading toward multiple "official" Christianity's thus allowing some breathing room for pagans.
 
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