In the OP’s case describing their Sea Lion, those TT will have to retreat outside of the protection of that Italian Navy.
This doesn’t spell complete doom for them, but from my experience if you have to retreat TT, chances are those same scrambling aircraft will target them in a counter attack as you’ve lost what ships you had in attempting to make a landing in the first place.
Granted in this situation its entirely possible to retreat those TT back to SZ112 which could at least have a scramble and potentially ships placed there that were purchased to defend those TT you retreated. I wouldn’t bank on that though, because if you are all-in on a Sea Lion you’d have to expect the purchase to consist of units to defend Berlin from Russia as you’d be relying on the Italian Navy to defend them in SZ110.
The more interesting question is why Sea Lion is occurring at all if Italy has a the Navy as described. Italy cannot even build a CV until I2, meaning the earliest it can even arrive in SZ110 is I4 (I2 to place, I3 to move to Gib, I4 to get in position). That means Germany is doing a G5 Sea Lion? What happened in Russia to make this a consideration at this point in the game? Did Germany really sit on 10 TT for multiple rounds and not get attacked by the UK for being in SZ112 or not get attacked in SZ113 by the Russians for 2 rounds?
Food for thought anyways.