I don't know much about my Dad's family other than they are from somewhere near Naples, Italy and came to America sometime before WWII. He grew up in Rochester, PA.
My mom's family is from Pacentro, Italy and she was born in there. My grandfather fought in WWII in the Italian Airforce and was captured by the British in North Africa. After the war he moved to the US and got a job in a steel mill in Monaca. He was able to save up enough money to then bring over my grandmother, my Mom, and my Aunt.
My grandmother would tell of being harrassed by the Nazis during WWII. I found this on wikipedia regarding the German occupation:
After the Italian Government's surrender in September 1943, Nazi armies marched south to occupy most of Italy. The German Wehrmacht occupied the town for the next few weeks. Allied raids induced the Germans to evacuate the population of the whole town just before Christmas 1943. Thousands of the town's inhabitants were evicted from their homes and forced to endure significant hardships and deportations.
By the way, the paternal grandparents of Madonna are from Pacentro.