According to Osho, he isn’t Italian now—though he jokes he must have been in a past life. He uses “being Italian” as a playful metaphor for going below the mind, the opposite pole of enlightenment. Touching such extremes awakens the longing to return to the source. Experiencing folly fully can catalyze the jump beyond mind into meditation and awakening.
No—he jokes about it to show that going very off-track can make you want to come back to peace.