YOur grandfather, Domenico Pantaleone died in 1927 in Gary, IN. Do you have his death certificate? Have you been able to find an obiturary? These will give you clues to proceed further back. Would expect to find them in Gary on the 1920 census. Was your grandmother alive in 1930? Did she have children that would be living with her? Did she re-marry after her husband died?
The manifest Suanj posted with an arrival in 1913 is your grandmother. Correct. It states she is going to her husband Dom. Pantaleone in Gary IN and gives her place of birth in the last column. Looks like Cappelle, Italy. I am having trouble getting the place database here to work. Perhaps someone can confirm the name.