I don't know how many walking dead fans there are around here to give specific answers and there are several further questions to ask.
1) Is the game/later episodes available in Italian at all?
If the game did not sell well then they might not have bothered to translate the later versions and instead just opted to sell English versions as everybody speaks English apparently.
Assuming it is though
2) PC game makers will sometimes split things between regions and lock languages accordingly. This is usually Russian and Eastern European languages as 50 euros for a game is a lot of money compared to average wage so they figure they would get something rather than just have everybody pirate it, however to stop those from the rich countries from buying the Eastern European copies then they tend to leave it with just one language.
Italy is usually spared this but it has been known to happen, and happens a lot on consoles.
A ROM hacker/game modder could theoretically inject another region's language but it is rarely done, and if you did download an Italian version to get the script from it then you might as well play that version.
3) You say download so I would wonder if it is some torrent or similar. In that case who knows what versions were packed together.
