No, its not a nickname. The characters full name is Furio Giunta. Furio was played by Frederico Castelluccio.
Yes, "Furio" is a nickname for the character Salvatore "The Italian" Bompensiero. He is a member of Tony Soprano's crew and is known for his strong accent and intimidating presence.
Check out the Sopranos website they have a Sopranos store and sell many items derived from the show.
Big Pussy
Furio Meniconi's birth name is Meniconi, Furio.
Dominic Furio was born in 1981.
Furio Giunta was created in 2000.
Furio Piccirilli died in 1949.
Furio Niclot Doglio died in 1942.
Furio Sacchi has written: 'Ianua Leti'
Jennifer Furio has written: 'Team Killers'
Paul Furio was born on 1974-04-29.
Tom Wyner did the voice of Furio in "Power Rangers."
Furio Monicelli was born in 1924, in Rome, Lazio, Italy.