The most common spelling I see by people from Slovenia is Setnikar. Another variation spelled in Slovenia is Setniear with a ' over the e. The next most common spelling is Setnicar. This is the common spelling in the US but I do see it used in Slovenia.
Your gr-grandparents were
Matheus Setnicar married Anna
Janse at Mother Of God Catholic Church in Waukegan on May 21, 1905.
On the passenger manifest Matt's name is spelled
Matheus Setnicar. His destination was to his brother Frank in Waukegan
Illinois. On the line above
Matheus was
Johann Setnikar destination Waukegan
Illinois.
Matt was naturalized under the name
Matt & Anna Setnikar on 06 Jun 1910. His petition for naturalization is available from the
Lake County Circuit
Court.
Matt's parents were
Franc Setnicar & Gertrude Zaloznik from Polhav Gradec.