Sources explaining various suffixes for Italian nouns - diminutives, augmentatives, pet names or terms of endearment, pejoratives - say that "-ello" is a diminutive, and "-azzo" is a pejorative.
So perhaps the name "Menegazzi" originated as something like "(that) damned Domenico".
Perhaps Osvaldo didn't like that, and chose a humble or cute form, "The Little Domenico" (Il Meneg-(h)ello)
(the /h/ after the /g/ is just the way Italian orthography indicates that the /g/ remains hard, rather than turning to a /j/ sound before i or e (same for a /h/ after a /c/ before i or e))
See, e.g. here -