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The following link shows Raffaele Nuzzo, Butcher, 1904 Arrival at Ellis Island with wife an son.
Looks like the married in Italy
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I can find no indication that Raffaele Nuzzo was naturalized. The Declaration of Intention may be his.
On the arrival found by Alice Lane, it shows that Raffaele and his son were returning from Italy to his wife Filomena, who was living on Mulberry St. When asked had he been in the US before, he stated 1893-1903. In 1906 Filomena diFazio, her father, and her two sons return from Italy and she stated that she had been in the US 5 years (1901-1905). She is listed as a non-immigrant alien; and had Raffaele been naturalized before her trip, she would have been considered a US citizen.
If Raffaele Nuzzo was naturalized prior to 1907, you should check state/local court records.
Here is a National Archives line that will provide a more detailed instruction: