As it turns out, the Romans had trouble even imagining an orgy. In one of our favorite Hercules myths, our refractory-period-free hero deflowers all 50 daughters of a Greek king in a single night. In keeping with the times, though, the king sent one daughter in at a time. One in, one out, just like a nightclub ... where your father's the doorman, and also the guy who pimps you out to get all inseminated up with a half-god's "li'l heroes."
But if the movie Caligula isn't as accurate as we'd hoped, who invented the Roman orgy? Early Christians, that's who. Christian proselytizers knew their audience, and nothing stirs up the blood of an entire culture of super-prudes like the idea that somewhere, someone is having sex differently from everybody else. So, to promote their nascent religion to the Roman masses, early Christian writers crafted lurid tales of debauchery that were "Hey, no kidding, totally happening -- but only at those rich guys' houses." In a culture that celebrated solemnity and virtue, nothing defamed the traditional religion of the day like being associated with well-lit nudity and sex parties.
The Christian marketing pitch essentially boiled down to: "See those pagans with their orgies, and their different positions -- they take their clothes off for sex! Gross, right? Now, let me tell you all about Jesus ..." And something tells us it totally worked. (That something being the four Christian churches we can see from where we're sitting right now.)