Jesus was Italian!

A couple whom the parish priest had never seen in Church before, approached him asking him to baptise their child.  The Parish priest in all politeness asked which Church do they normally go to.  When told that they've never been to Church, he asked them for the reason they wish to baptise their child.  They explained, "We're Italians and we have a strong Christian tradition.  We want our child too to grow up in that tradition.  Moreover Jesus also was Italian!" 

Well, logically speaking Israel was under Roman authority then and so it could be said that Jesus was Italian... But not sure if the Parish priest was convinced of the reason for the child to be baptised!