Bummer.
What does the 1930 census? If it says he was Na - naturalized citizen than lets try getting his naturalization petition. Might someone in the family have his naturalization certificate? If yes, than the certificate would have where the petition was filed so that is the courthouse you would go looking for it.
If not naturalized but lived passed 1940 than there is Alien Registration Form : G-639.
www.google.com will get you the website to download a form.