e origins of the phrased stemmed from the fact that, initially, all roads did lead to Rome.
The Romans were extremely skilled road makers...and the first to establish such a system of roads. They were also the first to use mile-markers.
The Romans designed their roads purposefully so that they all led to Rome, with Rome the central hub. This was done to hinder provinces from organizing resistance against the Empire.
The History Channel recently aired an excellent documentary on this subject...I think it was part of their "Engineering An Empire" series.
This link is helpful...it's all about Roman roads.