They wouldn't be able to build it. It wasn't until the 16th or 17th century that metallurgy and machining were advanced enough to build atmospheric steam engines, much less high pressure ones.
You need a lot of tech to jump start an industrial revolution.
The demonstration is key. The Greeks actually had one in 80BC or thereabouts, but as far as we know they never figured out a use for it. Wiki is here: Aeolipile