Hi Andrea and welcome to the forum, im sure it will help you get into your chosen martial arts path, MMA's usually means 'Mixed Martial Arts' which is the hybird modern style used in full contact no holds barred fighting such as UFC and cage fighting etc, I think you may of been reffering to the abbreviation MA's though, which just stands for Martial Arts in general.
It sounds to me from your post that you may be looking for a martial art that not only teaches effective self defence but also has old traditional disciplines as you mention "fortify your body and soul" and the word "path" which are often associated with more traditional style martial arts. I'm sure you won't have a problem finding a club in Milan especially if you move around a lot I think the main problem is just choosing a martial art that is right for you then looking for where teachs it. Once you have choosen a martial art people on here may be able to guide you to good styles/associations etc.
Choosing a martial art is not always that easy, most people just go to the nearest club but I would advise thinking about which style suits your needs really as if you go to the wrong kind of club it can put you off martial arts which can be a great shame as there are many benefits to be gained from the right martial art/instructor for you. I would recommend looking at this post:
http://www.thebudoboard.co.uk/viewtopic.php?t=334 and replying to that with any information you can give us about what you are interested in i.e. traditional martial arts, modern fighting, sport and competitve modern martial arts etc with regards to starting a martial art.
Look forward to seeing you around the forum, good luck starting your martial arts path :)