I originally thought it must mean Alfa; the first primo, best, il miglior cane! (the top dog in Italian). I was mistaken.
Actually, it is an abbreviation: Alfa (A.L.F.A. for Anonima Lombarda Fabbrica Automobili) was founded in 1910, It literally means the Anonymous Lombardi Car Factory... it's better in Italian. What do you mean, anonymous? It basically is what Italians call a "public company" in America. So, there you go; the Publicly Traded Lombardi Factory of Automobiles. As I said, I like it better in Italian.
Nicola Romeo was an engineer who originally started by designing equipment for the mining industry. His company, Ing. Nicola Romeo & Co., was so successful that he went on to acquire the majority shares in another company. Anonima Lombarda Fabbrica Automobili, and within three years he bought the entire company. And by 1918 the company was officially called Anomima Lombarda Fabbrica Automobili Romeo; Alfa Romeo.
If you ever get to Naples, go find the street named Via Nicola Romeo. Only fitting that a man who made such a legendary car would have a street dedicated to his memory.