What does Romans 9:2 mean?

This continues a sudden change in Paul's topic. At the end of chapter 8, he was discussing the way Christ's love cannot be severed from those who are saved (Romans 8:38–39). Here, he has begun a new topic, starting by insisting on his own sincerity (Romans 9:1).

Paul has famously conflicted with Jewish religious leaders over the issue of Jesus Christ. His mission in life is to preach that everyone can come into God's family, through faith in Christ alone, by God's grace alone (Galatians 3:27–29). In particular, he has taught that this salvation cannot be accomplished by following the law (Galatians 3:10–13). The Jewish religious leaders have repeatedly tried to kill Paul to suppress this teaching (Acts 14:19).

That's why Paul insisted so boldly in the previous verse that he was not lying in what he is about to say about the Jewish people: He is heartbroken for them. In fact, Paul writes that he has great sorrow and unceasing anguish. He is deeply and continually saddened about his people, the Jews.