For when the Gentiles, which have not the law, do by nature the things contained in the law, these, having not the law, are a law unto themselves:
Which shew the work of the law written in their hearts, their conscience also bearing witness, and their thoughts the mean while accusing or else excusing one another. (Romans 2:14-15)
The Zoroastrian magi, who visited Christ under the star of Bethlehem, were among those Paul may have had in mind.