The name Savio Mascalzone is a reference to Silvio Berlusconi who was the Prime Minister of Italy until 2011: a lot of scandals regarding Berlusconi's promiscuous and perverted sexual behaviour rose to public attention, especially in Italy, eventually leading to his legal persecution and his dismission from the charge. The word "Mascalzone" is also Italian for scoundrel.
After thinking that Italy has a king, Malory asks Archer what year he thinks it is. Archer jokingly replies, "that's a good question". This alludes to the fact that the show has an ambiguous time period.
When Lana says that Operation Gladio was "starring Allen Dulles", she's referring to the then director of the CIA.
"Doesn't Italy use a king?" In reality, Italy abolished the monarchy in 1946 and established a constitution in 1948.
A zentai suit is a skin-tight garment that covers the entire body. The word is a portmanteau of "zenshin" (full body) and "taitsu" (tights).