Bale's last appearance for Madrid came as a substitute in the second half of a 7-3 defeat to rivals Atletico Madrid in the International Champions Cup on July 27, shortly before a proposed transfer away from the Spanish club fell through.
The Wales international had been expected to join Chinese Super League side Jiangsu Suning but the deal collapsed, with reports suggesting Madrid were unhappy with the transfer fee being offered.
There was also speculation that Bale rejected the move over family reasons.
Bale did not feature in friendlies against Tottenham, Fenerbahce and Salzburg, but was named in the squad to face Roma along with fellow forwards Eden Hazard, Karim Benzema, Luka Jovic and Vinicius Junior.
The absence of James from the Madrid squad means the Colombia international's future remains unclear, with Napoli and Atletico Madrid both reportedly interested in signing him.
James has not featured for Madrid this pre-season following his return from a two-year loan spell at Bayern Munich.
Meanwhile, a hamstring injury keeps close-season signing Ferland Mendy on the sidelines as Madrid play their last pre-season fixture before Saturday's LaLiga opener at Celta Vigo.