F: Fiumicino Airport as an answer
I: change the clue so it refers to Caesar's killing which is more 'Rome' based?
L: Lazio (the Region Rome belongs to or one of the two local teams in Serie A?)
S: could also mentioned the modern one (eg modern one is in Palazzo Madama)
X: not sure how but maybe the MAXXI museum can be used so XXI is the answer? Maxxi being Museo nazionale delle arti del XXI secolo)
Y: Young - ___ English Poet, largest words written on Keats' tomb in the Non-Catholic Cemetery
Z: Zoo - there is one in part of Villa Borghese