Hadrian's Wall was built during Roman times to keep the northern Picts out of the province of Britannia. Nowadays it serves no defensive purpose, but the stones make for a cheap and convenient source of building material!

Source: game/common/buildings/00_special_buildings.txt, game/common/holdings/00_holdings.txt, game/common/script_values/00_building_values.txt and the English localisation, Crusader Kings III 1.20.0.3.