Totally devil's advocating here -- if the proper name of the stadium is Stadio Olimpico, wouldn't that be the correct name to call it even while speaking English? I mean, the Casa Rosada (http://whatisee.org/mt/archives/entries/000405.html) is still referred to as such in English.

Where's someone who is good with usage rules like this? I really want to need to MUST know now. Paging Miss Manners, stat!