I spent last summer in Siena on a program with my school...if you have the opportunity to study there, go. It's amazing, charming, gorgeous...I'm pretty sure that the Universita di Siena has a club, but I don't know of any other clubs in the area. Rome is pretty far away-- think several hours by bus. I believe Pisa is also at least a couple of hours away. Florence, on the other hand, is around an hour's bus ride away.
Oh...also, the Italian Allstar dealer is based in Siena, on the outskirts of the city, in a more commercial area. You can't really walk to it. But it's there.
Even if you decide to go & can't find a club, you'll be doing so much walking every day that you'd at least stay in decent physical shape (relatively speaking). You can also go running around the city and at the Fortezza. Sorry I couldn't be of more, fencing-specific help. But do go if you have the chance...it's a fantastic place.
