There are many reasons you might not be finding the Ellis Island record. It's possible the record is transcribed incorrectly, or your arrival date could be off by a day or 2. There are other free search engines that can search those records too besides Ancestry. Run the same searches through FamilySearch.org and also use Steve Morse's search engine, www.stevemorse.org. If you still get nothing, then you can search for all ships arriving in NYC around the date when your ancestor supposedly arrived, and then slug through the pages one at a time. If your great grandfather naturalized, his naturalization papers might contain the name of his ship, so if you haven't looked into ordering those, you should do that before slugging through manifests.
Regarding your great grandmother... Italian women usually traveled under their maiden names, so if you're searching for her under the surname, Dal Santo, you probably won't find her. If Giovanna and Agnese had children born in the US or Canada, you should track down one of their birth or baptism records. There's a good chance Agnese's maiden name will appear on one of them. If not there, then it might be on the marriage record for one of their children who married in the US or Canada. If you know where she died, you could see if there was an obit published in the paper. That also might contain her maiden name. There is a lot of information you can find on US records that will help you when it's time to look for the Italian records.
And regarding searching for Italian records... My experience with Ancestry is that it's lousy for searching for Italian records. What you typically find is just an index record showing only the name, and the way Italian's named their children, it's highly likely there are multiple people with the same first and last name as your ancestors. The best sources are www.familysearch.org or the Anteniti website, http://www.antenati.san.beniculturali.it/en. Looks like FamilySearch has some records, but they must be viewed at a Family History Site. Those same records might be viewable on the Antenati website. You'd have to poke around it and see. Most of the records on the antenati site are not searchable, but some are indexed. The site is in Italian, but your web browser can translate it into English. Not the record, but the text which contain instructions on how to use the site.
If it were me, I'd be looking at other US or Canadian records for this family first, so I had the most information possible to assist in finding Italian records. If there are no online, digitized records from Caltrano for your great grandparents, then you will have to write to or email the commune and request them. There is usually a small fee. You'll want to write that letter or email in Italian, if possible. FamilySearch's wiki has fill-in-the-blank templates to help you. Often the commune's website has information on ordering records.
Researching Italian ancestors can be tricky, but it's doable. Good luck!
