http://ethnicelebs.com/sylvester-stallone
"Sylvester’s father was an Italian immigrant (from Gioia del Colle, Apulia). Sylvester’s maternal grandmother was French (with Breton ancestry).
It is not completely clear what Sylvester’s maternal grandfather’s background was; his family was German, and possibly lived in the Russian Empire. An article in The Daily Mail, a British middle-market tabloid, stated that Sylvester’s maternal grandfather was of Jewish heritage, but it is not clear if this is accurate. There are many indications that he was not Jewish, and, it appears that, at least after they moved to the United States, Sylvester’s maternal grandfather’s family were Christians.
Sylvester was raised Catholic.
Sylvester’s paternal grandparents were Silvestro Stallone (the son of Domenico Stallone and Maria Giuditta Patarino) and Pulcheria Nicastri. Silvestro was born in Gioia del Colle, Provincia di Bari Puglia, Italy. Domenico was the son of Silvestro Stallone and Pasqua Guida. Maria was the daughter of Gaudenzio Patarino and Maria Masi. Sylvester’s grandmother Pulcheria was also Italian.
Sylvester’s maternal grandfather was John Paul Labofish (the son of Charles Schachan/Shashan Labofish/Labofisz and Rose Ethel Lemlich/Lamlec/Lamletz/Lemletz). John was born in Williamsport, Pennsylvania. Charles and Rose were listed as born in Germany most of the time, or in Russia, some of the time. Their language was usually listed as “German”."
And from Wikipedia, en.wikipedia.org/wiki/Sylvester_Stallone
Early life
Stallone was born in New York City, the elder son of Frank Stallone, Sr. (1919–2011), a hairdresser and beautician, andJacqueline "Jackie" Stallone (née Labofish), an astrologer, former dancer, and promoter of women's wrestling. Stallone's father was born in Gioia del Colle, Apulia, Italy, and immigrated to the United States in the 1930s.[8][9] Stallone's mother is of half French (from Brittany) and half Ukrainian (from Odessa) descent.[10][11][12] His younger brother is actor and musician Frank Stallone.
Although this info is not as complete as it might be, it seems like a step in the right direction.