Wander Italian city, say (4)
I believe the answer is:
roam
'wander' is the definition.
(I know that wander can be written as roam)
'italian city say' is the wordplay.
'italian city' becomes 'Rome' (city in Italy).
'say' indicates a 'sounds like' (homophone) clue.
'rome' sounds like 'ROAM'.
(Other definitions for roam that I've seen before include "Meander" , "Prowl" , "Wander about aimlessly" , "Rove or ramble" , "Travel widely" .)