Thats not all true. My Grandfather was born in Sicily, no records were found in that office. Next?

I apologize for the silly question, but was he serving in the Italian military when he died? If so, then you should be able to find him here http://www.difesa.it/Templates/OnorCaduti.aspx?NRMODE=Published&NRNODEGUID=%7b0C9F25D3-8C22-4ED3-A411-D16208C3C01C%7d&NRORIGINALURL=%2fMinistro ...