Who says that it only consisted of Jews in Italy? There were over nine million Jews in Europe before World War II started.
There is no evidence that the Vatican organized a coordinated, continent wide campaign to save Jews. None. Did individual Catholics and local Catholic parishes save many Jews, perhaps in the hundreds of thousands? Of course. But it's just factually wrong to attribute their actions to Pius himself. And the real story is, if anything, more heart-warming. They saved Jews out of the goodness of their hearts, on their own initiative.
Again, I'm not disputing that Pius saved Jews, and tried to save Jews. I'm disputing the ludicrous figure of 860,000. There's no reason to use wildly inflated numbers to make a case for Pius.
Look at it another way -- 3 million Jews escaped or survived the war. Of those 3 million, most survived because Nazi's either never directly controlled their area (Bulgaria, southern France), or didn't control their area long enough to finish the exterminations (Russia, Ukraine, Hungary etc.) Hundreds of thousands of others fled before the war.
I don't 860,000 Jews, in total, were saved by "anyone" -- much less the actions of Pius personally, or Catholics collectively.