Dear Mr. De Marco,
Thank you for posting your request on History Hub!
We suggest that you request a certification of non-existence of a record of naturalization from USCIS (Genealogy Frequently Asked Questions - see About Further Research section). USCIS should be able to provide the certification of non-existence, and although your grandmother will not have a naturalization record, it is likely that INS did create an A-File that could be used to verify her citizenship status for your dual citizenship application.
Please see NARA’s website for Dual Citizenship Assistance - Frequently Asked Questions for more information.
We hope this is helpful. Best of luck with your family research!