Tough situation.
I'm sure they are aware of what they are doing, but what if you did a lesson about descrimination of some other group somewhere else. Talk about why one group is persecuted and have them discuss what would be best. Then turn it around and ask what kinds of descrimination occurs in Italy. And then ask if that happens even in classrooms.
I'm sure they'd see right through it, but maybe they'd see that their actions are bothering you.
Another option is to maybe do a lesson about similarities. Try to get them to find similarities between individuals in the class. Choose your topics wisey (not what language do you speak at home

)
- sports
- where they live
- work place
- foods the like
- things they do on weekends
- cars they drive
- entertainers they like
...
Then try to point out that Italians and Romanians aren't that different after all.
Too corny?
I think just doing something that shows them the situation is bothering you might be enough. If not, maybe split them up and charge them more because they can't work together! That ought to spark some cooperation and group unity. They'll all be mad at
you.