My great great grandfather Isaac VanBuren Willingham was a surgeon during the Civil War and after the war he became a 33rd Degree Mason. He actually sailed to Rome to be appointed to the 33rd Degree and was given a Roman Coin. I have the coin and my family is trying to find out what Dr. Ike did to be able to become a 33rd degree Mason. He lived in Glen Rose, Texas.
There are a few issues with your statement. The 33rd degree is conferred on those who are Scottish Rite Masons and have been elected to receive the degree due to exceptional service to humanity and Masonry. If your ancestor were a 33rd, it would not have been conferred outside the US. So, the trip to Rome was probably for something else not related to Masonry.
There are two jurisdictions of Scottish Rite in the US, Northern and Southern. Depending on where he lived, you could contact either or both of them. You may find nothing as he may not have been a 33rd but simply a Mason. The highest degree in Masonry is not the 33rd, it is the third, Master Mason.
You could also contact the Grand Lodge of the State where he lived and give them all the information you can. Where he lived, his birthday, etc. They will have his complete Masonic career in their records.