Latin hugely popular name, derived from the Latin words Natalis Domini actually means - "Christmas; born in Christmas; birthday (of Christ)", see the name Natalie. Or comes from the Latin word naturalis - "natural; native" or of natae - "daughter; child".
St. Adrian and St. Natalia were pagans who were married for one year prior to their martyrdom, and lived in Nicomedia during the time of Emperor Maximian in the early fourth century. The emperor promised a reward to whomever would inform on Christians to bring them to trial. The denunciations then began, and twenty-three Christians were captured in a cave near Nicomedia.