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Dear Mr. Pagano,
Thank you for posting your request on History Hub!
The National Archives at New York (firstname.lastname@example.org) maintains Petitions for Naturalization out of the New Jersey Federal courts. Their staff will be able to determine if a record exists at the National Archives.
If Stefano Pagano did naturalization in the 1930-1940 time frame, he will likely have a Certificate File (C-File) that can be requested through the US Citizenship and Immigration Service (USCIS) Genealogy Program (www.uscis.gov/genealogy).
We hope this information is helpful. Best of luck with your family research!
[Information provided by Elizabeth Burnes, Subject Matter Expert]