The most common and most likely answer to this crossword clue is the 4 letter word EBOR
I've seen this crossword clue in Independent
E
B
O
R
Buddy explains!
The straight part
We know that "What (a city, York) the Romans found when they came north (but not across the border)" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case what (a city, york) the romans found when they came north (but not across the border) = ebor.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.