Unless there's something seriously wrong in electrical wiring, there is zero net magnetic radiation from Romex. Since the same current flows, but in opposite direction, in the white (neutral) and black (line) wires, their magnetic fields completely cancel each other. So a ferromagnetic sheath would be a waste of money and effort. If there IS a significant external magnetic field coming from Romex, it means there's another return path for the current somewhere else. This could be caused by a "bootleg" ground (where neutral is tied to safety ground) for example. Occasionally, this can happen accidentally when a neutral wire gets pinched in a J-box somewhere. But more often, it's an amateur electrician who sees the same zero volts on neutral and safety ground and assumes they're interchangeable!!
Anyone who wants to dig deeper into the subject of AC power wiring and magnetic fields or system noise can refer to the handout notes from one of my typical seminars on the subject at
https://centralindianaaes.files.wordpress.com/2012/09/indy-aes-2012-seminar-w-notes-v1-0.pdf
For anyone in the Dallas, TX area, I'll be presenting a similar seminar at the CEDIA (home theater) convention on Sept 30.