Italian Great Grandfathers records and information

Hello, I am searching for the immigration, naturalization, and/or citizenship papers and documents for my great grandfather. I have some information, but no documentation to verify any of it. If anyone could assist, I would be grateful. His Name was Saverio Coronato . He was from Macchia Valfortore. He came over through Ellis Island on The Roma. It left from Naples, Italy. He arrived May 10,1905 is what I have been told. He went somewhere in New York from there. I am trying to establish my genetic link to him so I can try to establish dual citizenship with Italy . More than anything though, I just want to know where I come from. how we got here. Thank you so much .