The Dutch were neutral, and Germany rolled through regardless. The Portuguese were neutral, but still lost Macau and Timor to the Japanese. If Germany is victorious in Russia, not even neutral Switzerland will be safe, let alone Italy.
There's neutral and neutral, evidently. The Soviets were neutral when attacked, the USA were neutral when attacked.
Frankly, when I mentioned that Italy would be neutral, I thought you were referring to some strange effect of the Soviets' demise that made
the Allies attack the Italian
colonies - which are the place you claimed might be at risk, as opposed to the homeland. The Germans, even if they occupy the European SU to the A-A line, still have no way to threaten Italian East Africa or Libya.
Might the Germans threaten Italy in the Alps? Yes, like they could do the same to Switzerland, as you say. Occupying densely-populated territory fighting through difficult terrain which would give him no strategic advantage and no Lebensraum would be useful to Hitler how exactly?
In any case, if we go for the worst case and Germany does attack Italy across the Alps after having occupied the European SU, Italy would assume the default position - siding with the Allies. This would give the Allies more manpower, a good defensive front, a further air lane for strategic bombing. Italy might well lose its northern half to a costly german advance (costly for the Germans), then stop them, with substantial US and British help, along the Apennines in a reverse position wrt OTL. Meanwhile, guerrilla in the Ukraine and counterattacks along the A-A line, bombing of Ploesti, naval blockade. And no Italian aluminium for the Luftwaffe's fuselages.
And all the time, no threat to the Italian colonies. It's not as if Germany, having won in the SU, could threaten the British or Free French African colonies, either.