Jesus lived in a previously sovereign country, Israel, which had become the subjugated province of Judaea within the Roman Emperor, treated far more harshly than Scotland has ever been treated by England.
When he was challenged on the paying of Roman taxes, it was a golden opportunity to side with the Jewish nationalists and say "Yes, rise up, and free yourselves from the Roman yoke", but his answer "Render unto Caesar . . ." was (I think) his way of saying that, in spiritual terms, that wasn't the thing they should be mainly concerned about. As long as the Romans allowed them freedom of worship (which they actually did, unlike in most other Roman provinces), then everything was okay.