The sarcastic comments remarking on Mussolini's predilection for balcony speeches and comparing him to Juliet or Romeo goes back to 1935 or earlier in the English-language press.
The November 11, 1935 Dansville (NY) Breeze contains one article about Mussolini reviewing his Italian army from a balcony, and a "barb" mentioning him in conjunction with Romeo and Juliet's balcony:
The forthcoming film, "Romeo and Juliet," may have to be produced in America, since Il Duce apparently has a monopoly on all Italian balconies.
In the September 3, 1937 Albany (NY) Times Union Arthur "Bugs" Baer wrote:
We pointed out some years ago that no European dictator would allow Juliet out on the balcony in the balcony scene. That's because the pigeon ledge is restricted solely for the use of Stalin, Hitler and Mussolini, for the reviewing of troops and the broadgabbing of speeches.
The July 10, 1938 Imperial Valley Press from El Centro, California included a filler item (also published in the July 8, 1938 Schenectady Gazette under the byline of William Ritt) that read as follows:
An old-timer is a fellow who can remember when the word "balcony" brought to mind "Romeo and Juliet" and not Benito Mussolini.
The April 13, 1939 Western News from Libby, Montana contained an announcement of a lecture by Dr. Robert L. Housman, a Russian-born professor who earned the first Ph. D. in journalism in the U.S.:
Tuesday morning, the high school was pleased to hear an address by Dr. Housman, head of the Department of Journalism at the University of Montana. . . . He described the Fascist replic [sic] of this system ruled over by Mussolini, to whom he said, correspondents refer to "Juliet," because he is always on a balcony.
The September 27, 1939 Binghamton (NY) Press said:
As a neutral, Muss did maintain the socalled Silence of Cuneo long enough to make European chancellories wonder whether the cat had his tongue. But he stood it just about so long and then broke forth beautifully at a Fascist old home week celebration where he announced that when he had anything important to say he would tell the world from the balcony of the Palazzo Venezia, presumably playing the part of Romeo to Hitler's Juliet.
The November 14, 1939 Buffalo (NY) Courier-Express contained an article by William L. White with the following exchange:
"The Old Man is more popular in Italy today than he ever was."
"What about the story that they now call him Juliet, because he is always singing to them from the balcony?"
"Sure they call him Juliet. The Italians are great kidders. They have to kid even the things they love. I could make a book of Italian stories like that on Mussolini I've heard ever since I first came to the country."
The August 25, 1942 Detroit (Michigan) Evening Times ran a syndicated King Features piece that included a list of jokes, including this one:
If Juliet were to play the balcony scene with Mussolini, where would she stand?
By 1942, Mussolini and his balcony were so entwined that there was even a book titled Balcony Empire, subtitled "Fascist Italy at War." However, the book does not seem to have any references to Shakespeare's Romeo or Juliet.