First off! I know Romano is an asshole to everyone(I think) but... here me out!
Italy and Romano are the same country! They MIGHT be able to share memories, so Romano would also know about HRE, he would understand why Italy would be upset an all, and wanted to protect him from having his heart broken again.
Now, Romano discovers Italy and Germany are friends(Lovers) and has a need to protect his little brother from Germany because what happen to the HRE. BUT!!! He might also have figured out the Germany IS HRE (It has been confirmed) and doesn't want him hurting Italy again!
It would make sense!
Or Romano is just a plain asshole...
Yep..
Well... Another theory I had before I discovered it was confirmed, was the HRE wasn't dead, but in a coma and France just lied to Italy... (like imagine him finally waking up, find Italy and being all like "I'm told you I would come back," that would be the fucking saddest thing I have ever seen. And what if he met Germany searching for Italy....
Think about that.)
Yeah... Sticking with the first.
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