Hi
If buying Apple Watch Series 3 (GPS + Cellular) in another country, then you would need to buy a model that supports the relevant LTE and UMTS bands for your country and supported carrier.
The cellular features require a carrier plan for your iPhone that also specifically includes support for Apple Watch.
There are three different regional versions of Apple Watch Series 3 (GPS + Cellular), each supporting different LTE and UMTS bands, as detailed here:
Apple Watch - Carriers - Apple
Also keep in mind that warranty service may be restricted to the country in which Apple Watch is originally purchased:
Apple One (1) Year Limited Warranty
I suggest that you contact your preferred carrier in Italy to ask whether the model could be used on any future service plan they may offer for iPhone that supports Apple Watch.