"Then both Peter and Paul were led away from the presence of Nero. And Paul was beheaded on the Ostesian road.
And Peter, having come to the cross, said: Since my Lord Jesus Christ, who came down from the heaven upon the earth, was raised upon the cross upright, and He has deigned to call to heaven me, who am of the earth, my cross ought to be fixed head down most, so as to direct my feet towards heaven; for I am not worthy to be crucified like my Lord. Then, having reversed the cross, they nailed his feet up.
And the multitude was assembled reviling Cæsar, and wishing to kill him. But Peter restrained them, saying: A few days ago, being exhorted by the brethren, I was going away; and my Lord Jesus Christ met me, and having adored Him, I said, Lord, whither are You going? And He said to me, I am going to Rome to be crucified.
And I said to Him, Lord, were You not crucified once for all? And the Lord answering, said, I saw you fleeing from death, and I wish to be crucified instead of you. And I said, Lord, I go; I fulfil Your command. And He said to me, Fear not, for I am with you. On this account, then, children, do not hinder my going; for already my feet are going on the road to heaven. Do not grieve, therefore, but rather rejoice with me, for today I receive the fruit of my labours. And thus speaking, he said: I thank You, good Shepherd, that the sheep which You have entrusted to me, sympathize with me; I ask, then, that with me they may have a part in Your kingdom. And having thus spoken, he gave up the ghost."
Besides, we all know that where the Church (the Body of Christ) is, there is Christ!
But it was pretty nice of those Romans to let Peter (who incidentally headed out of town like the Road Runner when Jesus was crucifide) decide how he was to be killed...