Romax can be somewhat exposed, but never to the Direct outdoor elements. A 1 1/4 inch screw should never be able to hit the live line from either side if completely buried to stud. If it is exposed to the elements without threat a visual plastic (pvc) conduit can be used. If it is buried less, steel conduit should be used (and in some high-voltage situations, steel conduit is required always but you won't be able to use Romax as it is usually only rated for 300 V). Some inspectors allow for steel plate guarding if buried less than the requirement. If you're doing a new wire install, you should see what your inspector is requiring in your area.
Edit; I just went back and saw your picture, you have one of two choices from you can surface mount PVC conduit or surface mount metal conduit to the inside studs, but, if you ever insulate and finish the inside the conduit, it still has to remain surface mount on top of the finished product. But your local inspector will help you further.