Prepare yourself, I've been reading depressing stuff and now have sad headcanons...

Romano has depression. When Grandpa Rome taught Italy, Romano thought he had made some mistake that drove his grandfather to hate him. He soon learned the way of self harm and almost killed himself. Italy saved him. Now he is mostly okay, but still sometimes tries to kill himself. This time he is saved by Prussia and Spain.

Romano wouldn't ever admit it, he knows it would hurt Italy and Spain, but he knows that one day he will simply disappear.