Because the Doctor, Amy and Rory still remember him being a Roman (though Rory's memories come and go), so sometimes refer to him as that in a joking way. Oddly enough, in "The Big Bang" he was the Lone Centurian, and now he's suddenly the Last Centurian. Maybe their memories are still slightly hazy, which is why they got that a bit wrong?
So far, it's only been Amy who's called him that.
No, the Doctor called him the last centurion in day of the moon. Which he is, of course: he survived while the Roman Empire fell.
Possibly because he, Amy and the Doctor were all there at the eye of the storm when the universe was rebooted, like how the Tenth Doctor, Martha and her family, Captain Jack, etc. All remembered the Master's domination after time had been reversed in the episode "Last of the Time Lords".