Definitely strange. There's absolutely no reason a retail version bought in the UK wouldn't work in Cyprus (assuming you live in the southwest). CA's release notes:

Physical copies and digital keys for ROME II purchased in these territories will only work within these territories:


• China, Taiwan, & Hong Kong
• Thailand, Laos, Cambodia, Vietnam, & Myanmar
• Russia + CIS
• India
• Turkey


Also, copies purchased elsewhere in the world outside of those regions listed, will not work within those regions.
For example, if you are in India you must purchase your copy of ROME II from a retailer located in India. Please check with your retailer if you have any questions.
This affects only those regions listed.
I'd suggest contacting Steam tech support and have them check your activation key.