I think I had the same problem many years ago and had found the solution in the 'net. For Germany, I have these NLS-dependent entries in my CONFIG.SYS:
COUNTRY=049,D:\OS2\SYSTEM\COUNTRY.SYS
CODEPAGE=850,437
DEVINFO=KBD,GR129,D:\OS2\KEYBOARD.DCP
SET LANG=de_DE_EURO
SET TZ=CET-1CES,3,-1,0,7200,10,-1,0,10800,3600
You might want to change the KEYBOARD.DCP line to solve your problem. Also COUNTRY and LANG are different in Italy.