Stefano,
There are many reasons why you may have received the type of reception you describe. Some, you have answered yourself. Italian immigrants were forced to assimilate as quickly as possible into the "great melting pot" and thus after many generations the only Italianate characteristics left are the surnames. Secondly, your dealing with New Yorkers, "What do I look like, a Library"). Thirdly, you may not be such a personable guy :) (sto scherznado).
Seriously though, being a tri-national myself (Italian born/
Canadian raised/ and American by choice), whenever I run into someone with an Italian name, my inquiries garner a relatively tepid response if they are the descendants of 19th Century immigrants. What are they going to talk to me about?
Discrimination? You betcha!. The early immigrants were treated like vermin. Sacco and Vanzetti became international symbols of America's bigotry towards Italians.