hmmm... The area of 'Britannia Prima' (ie. the British mainland) under direct Roman military occupation, as evidenced by the distribution of fortresses, waycamps, staging posts, villas and roads (not to say public sanitation, wine, law and order oh shut up, Dai) covers the whole of Wales as well as England and southern Scotland. Remember that the Romans were actually quite open-handed in their governance of Britain, and consequently relatively popular (with one or two famous exceptions).
I've never heard Lloegr explained that way. You could be right, it doesn't quite ring true to me... but then, I'm only operating on hwyl.