Several sites give the full name of Russ Columbo as "Ruggiero Eugenio di Rodolpho Colombo." According to the Sep 3, 1934 New York Times where an account of Columbo's death is given in detail, ""Columbo, christened Ruggiero Columbo was born in San Francisco, the youngest of twelve children."
Earlier today, I went with my wife to the local public library. While she was looking for some books to check out, I searched ancestry.com for Russ Columbo under various names. No success using Ruggiero Colombo or Columbo. So after several failures, I hit the jackpot. I found Russ Columbo in the 1910, 1920 and 1930 US Census.
1910. Living on Front Street in Philadelphia, PA with father (Nicola, age 47, Italian, immigrated to the US in 1882, contractor, stone mason); mother (Julia, age 40, Italian), brother (Anthony, age 22, born in Pennnsylvania, musician); brother (Alphonso, age 17, born in Pennsylvania, stone mason, helper); brother John, age 14, born in Pennsylvania); sister Annie, age 11, born in New Jersey); sister (Millie, age 9, born in New Jersey); brother (illegible, age 6, born in New Jersey). Here Russ Columbo's name is given as Russell Colombo, age 2, born in New Jersey.
1920. Living on Eighteenth St, San Francisco California, name Russell Colombo, with father, mother, sister Mary, brother John and a nephew and a niece.
1930 Living on Tamarind Avenue, Los Angeles, CA with fatherr and mother. Name Russell Columbo, occupation stage actor.
It is possible that Russ Columbo was christened Ruggiero Eugenio di Rodolpho Colombo, but his "official," civilian name from 1910 on was Russell Colombo
If there is interest, I can scan and upload the New York Times article.