CAPRI, Italy—When Emperor Tiberius Caesar wanted to escape from the doldrums of ancient Roman life, he came here to Capri, even self-exiling for a time in his pornographically decorated palaces where he indulged in pleasures of the flesh with both sexes. In fact, the ancient remains of his opulent Villa Jovis with stunning views over the turquoise waters and Bagni di Tiberio on the water’s edge have always been a magnet for those with a lust for...