Absolutely! We've played Greeks, Romans, and Egyptians and it worked great.
Pulp Alley really focuses on the ideas of adventure, discovery, and storytelling. And that stuff pretty much stays the same regardless of time period.
You might consider using one or more Setting Rules to encourage players to stick to the theme. In our Pulp Leagues book we have some different Settings that are worth checking out, such as Primitive, Single-shot, and so on. Also, I think the specific Weapon Kits are handy for ancients.
Let us know if you have questions.