A correct observation about Anglo-centrism, but of course unless - like DSJ - you were lucky enough to be allowed to roam the roads of Europe and get paid for it you were unlikely to be able to witness this stuff first-hand and you were probably relying on Royal Mail to eventually bring you that (expensive) subscription copy of Auto Italiana. Even assuming you could read Italian.
Autosport probably felt they had enough on their plate reporting the myriad little meetings and minutiae of British racing, so really didn't need to provide their readers with too much detail about what all those foreign chappies were up to. [ETA: and there was probably still a lingering anti-Italian sentiment amongst some of their readership - discussion of 'ex-enemies' had dominated the correspondence columns of the weeklies in the aftermath of WW2.]
My own researches into the 1930s have led me to the conclusion that a lot of foreign stuff was simply ignored as irrelevant ('Brooklands syndrome') and that most of what little real news that filtered through was sourced to whatever the news agencies sent out or the French sporting daily l'Auto, which might even have been available for over the counter purchase in London from specialist newsagents. Oddly, reporting of matters Italian improves between September 1939 and June 1940, with Harold Hastings in Light Car regularly quoting what are said to be letters from Johnny Lurani - although that's probably a bit of journalistic licence!
Anyhow, in addition to the book mentioned by Parkesi ...
Auto Italiana is of course the primary first-hand source, but good luck with finding copies of that outside Italian archives!
The La Stampa online archive (free) is a good starting point. A national newspaper, but with pretty good sporting coverage.
Also worth exploring is the CONI archive: http://dlib.coninet.it/?q=node/1
There's also the Zwischengas website, which has an online archive of the German-language edition of Automobil Revue. Subscription required, but how much coverage there is of Italian events of that era I don't know.