Russo is not a very regional name, you can find it almost anywhere in Italy. Here's some maps that show the concentrations of the name Russo:
http://www.cognomix.it/mappe-dei-cognomi-italiani/RUSSOhttp://www.gens.info/italia/it/turismo-viaggi-e-tradizioni-i...Both maps have zero results for Sapirenza but they do have some for Sapienza - the highest concentration is in Sicily. I can't find any reference to Sapirenza as a surname even in other cultures.
If you don't know where in Italy they were from, it's best to find either their passenger lists or naturalization papers. Many passenger lists are transcribed with the wrong name spellings so you may be having difficulty finding them because of that. Try looking for them on US census records - there is some immigration and sometimes naturalization details on the censuses. That will help you narrow down the time period of immigration and naturalization. Maybe naturalization records aren't available online so if you're not finding them on Ancestry.com, that could be why. One of these two types of records should tell you the town in Italy where they were either last residing in or born in. With that information, you can then find their Italian birth records, usually online or on microfilm and those will provide you with their parents names.
I took a quick look and it appears that on the 1930 census, Frank Russo had files his first papers for naturalization. In 1940, it says he's still an Alien so either he never completed the process, we denied citizenship, or the 1940 census is just wrong. Either way, if he started filing there should be papers for him, like a declaration of intent or petition files from around 1930.
It also looks like Frank and Teresa might have married in the US, most likely in Middlesex County, MA so I would look for their marriage record, it might tell you more. If none are available online, you should check with the county clerk at the court house.