Some tell that Mussolini later in life when in control of the Italian's Social Republic talked with Cardinal Ildefonso Schuster often and eventually repented and died a catholic.
It is also said that In the 1950s, Donna Rachele (Mussolini's wife) had a dream that his husband was saved and she went to visit Padre Pio to ask him: "What about my husband? Did he save his soul?"
St Padre Pio: "Did he not tell you in a dream? Stand up, pious woman, and go in perfect peace. Your husband is safe, think of saving yourself."
Then there is this letter which appeared in an italian newspaper of correspondence between Mussolini and st. Padre Pio which Mussolini confessed that his wife made him comeback to the faith
There is even a book by ennio innocenti called "La conversione religiosa de Benito Mussolini" (The religious conversion of Benito Mussolini) only avaliable in italian, I have never read it, should be good to read.