When you're shopping for Italian Egyptian cotton sheets, the simple fact that they're also called "Italian" can be a little confusing. What's referred to by "Italian" is not the origin of the cotton, but the origin of the sheets themselves when they are woven. While the cotton may come from Egypt, the fabric is finished in Italy.
Unfortunately, very little leaves the country and can be hard to find. As with other high quality brands of Egyptian cotton sheets, you'll be able to find these mostly at high end luxury home good stores. Neiman Marcus is a premier provider of fine bed linens and carries many of the best brands that are available today.
Anichini provides Italian made sheets from Egyptian cotton, as well. The thread counts are deceptively low and because of marketing gimmicks don't seem to be as high quality as they actually are. The truth is, though, that it's extremely common for high quality cotton sheets to have lower thread counts than their fraudulent counterparts.
Malouf also has a luxurious set of Italian Egyptian cotton sheets under their "Woven" line of sheets. They're 100% Egyptian cotton percale with the fabric being woven in Italy. They'll run you around $1,300 for the king size set, though. Fortunately at these prices, you're looking at a decade or two before you'll have to replace them as long as they're cared for properly.