Violating electrical codes is not a huge criminal offense in most cases and in many cases, there are no specific coding laws about Romex in particular. However, Romex does not need to be run through conduit and it is inadvisable to do so. \
Romex is sheathed in durable, flexible plastic material and individually coated wires. You can run Romex through conduit if you are determined to do so but you shouldn't. \
The National Electric Code, which is not a set of laws or regulations but more like a series of suggestions, recommends running only non-metallic wires through conduit. Romex is mostly made with copper covered over with plastic. \