You guys should check out the I, Mario thread on OCR. Realistically, the entire world of Mario is a giant acid trip, though I suppose to two Italian-American plumbers from Brooklyn, it'd be nothing they couldn't handle; New York City does have a fairly high crime rate, one of the highest in America. There are a great deal of Italian-Americans in NYC, as if anyone needed a reminder. However, Mario could just as easily have been Jewish, or Chinese.
It's easy to explain why Mario and Luigi were painted as Americans; Japanese culture has something of a fascination with all things American, and New York City stands as an emblem of all those things; a prime cause of 9/11/2001. But why the Italian choice?
Come to think of it, what is with the frequency of superheroes that come from NYC? I can name several of them right off the top of my head:
The Teenage Mutant Ninja Turtles
The Manhattan Clan of Gargoyles (the main cast of Gargoyles)
Peter Parker aka Spider-Man
Daredevil
The Mario Brothers
Several members of the X-Men, as Xavier's school is in upstate New York, as well as other DC and Marvel characters (though if it makes Daniel feel any better, Wolverine is Canadian.)
Seriously, wtf? My dad's a Jewish import from the Bronx, and he doesn't have any superpowers...though actually, he does rather look like a middle-aged Mario, whereas if I lost a few pounds I'd be the spitting image of Squall.