ALFA is an acronym (=Anonima Lombarda Fabrica Automobili), an early Milanese auto factory; Romeo is the last name of a machine manufacturer who bought ALFA ca. WW I.
Actually the words are "In fair Verona where we lay our scene." This is part of the Prologue, a sort of introduction to the play. The "we" here are the actors who are putting on the play. "Lay our...