The long axis of the tensile test speciman, with the weld transverse to the long axis, should be parallel to the direction of rolling.
As Joe said, it does make a difference. The tensile strength is highest in the direction of rolling, reduced some what perpendicular to the direction of rolling, and about 50% less than the maximum in the through thickness direction.
Some "high quality" steels are bidirectionally rolled to improve the tensile strength in both directions of rolling.
Best regards - Al