This may be a new addition in Madden 20 but Madden 19 and prior it's never worked. The second any pre-existing player has his name altered or edited/saved - any pre-existing audio for that player is removed (still exists in Madden 20.)
I haven't been able to get Madden to announce any of the last names on any of my created Dolphins players. I haven't tested Romo out, but I did test it on Tre' Watson & Preston Williams, and neither Watson nor Williams was pronounced once during CFM pre-season. Obviously they're common names so because of that I assumed it to be the case for all edits.
That's awesome though if they do it for some players including Romo.