Tacitus explicitly refers to a "Christus" crucified by Pilate and the cult followers he gave his name to, "Chrestianos," distinct but related to Judaism. If there is a problem with citing him as proof of Jesus's historical reality it's that he doesn't tell us where he heard about "Christus," and might just be reporting the claims of the cult without having bothered to see if Prefect Pilate actually executed a random Hebrew cult leader for treason.
Of course, by the time Tacitus wrote he might just not have bothered, rebelling against Rome and getting executed for it is just kind of what Hebrews did at the time.
It's honestly probably better if you don't know anything about the characters. Caitlyn and Vi are pretty different from the game and really the only deep lore cut you'd miss is the Brackern crystals, and that's probably going to be spoilers for season 2.
Jesus almost certainly existed, Tacitus refers to his cult and execution and he was not a fan of the weirdo Jewish cannibal cult or their growing popularity in Rome.
Imagine inheriting the corpse of the Soviet Union and having less tanks than literally anyone, much less a nation you've invaded out of your weird Tsarist-era port obsession.