The woman once so proud to be called the First Lady of Football is in mourning. Nancy Dell’Olio may have split from former England manager Sven-Goran Eriksson some 15 years ago, but as she puts it ‘when someone you loved dies, they take a piece of you with them, and Sven has taken a piece of me’.

For the past week, the world of football has been remembering Sven after his death from pancreatic cancer at the age of 76.

Tributes have been paid by the great and the good, but when it’s your former lover who has departed, grieving can be more complicated – especially if you are in the public eye, too.

So it is for Nancy. It may have ended badly between them but Sven’s death has left her in bits.

For a decade she was the queen to his king, and now she is bereft. Also in an exile, of sorts, in her native Italy.

‘I’m surprised by my reaction,’ she admits. ‘It’s difficult not to cry. My phone has been inundated with messages, but I couldn’t look at them at first. I just needed to be alone with my thoughts.

‘It’s odd, the mix of emotions, but it has hit me that Sven is dead. It is over.’

Sadly, it is.

‘Sven and Nancy’ – ‘in the UK, it was Sven and Nancy, never just Sven’ she reminds me – technically has been over for a long time, but this feels very final, and so very sad.

‘But not many love stories have a happy ending, no?’ she says, with all that sweeping drama and attitude that made Nancy as famed as the quieter (but no less complicated) man whose life she shared.

You just want to weep with her because however OTT Nancy Dell’Olio can be, her distress is real – as TV viewers witnessed this week. Her grief was so all-consuming in an interview on Good Morning Britain that presenter Richard Madeley had to bring the live interview to a premature end.

Now it emerges not only was she distraught at the idea Sven might die, she even thought she might have been able to save him.

For Nancy, 63, tells me that even though they had had no contact (apart from when they were communicating with lawyers present or via their legal teams) since 2009, she finally plucked up the courage to call him direct after hearing of his terminal cancer diagnosis.

And when they spoke – for the first time in years – some of the old Nancy and Sven dynamic was still there.

Nancy remembered meeting a doctor, a specialist in pancreatic cancer, and the man was now part of a pioneering team of medics based in Boston in the US.

‘And I contacted this doctor who said: “Tell Sven to come here.” They are doing all sorts of experimental work into prolonging life,’ she says.

‘So I called him [Sven]. He didn’t pick up immediately, but he called me back about half an hour later.

‘I told myself I would not be upset when I heard his voice. I would not cry, like I am doing now. I would not be dramatic. I would be factual.’

Alas, the idea of Nancy not being dramatic, in dramatic circumstances, was always fanciful.

Of course she fell apart as soon as she heard her former lover’s voice, which was characteristically calm. It sounds as if he was kind to her, in that moment.

‘I could tell that Sven was smiling on the other end of the phone. I begged him, was begging him, to go to Boston. He said: “Come on, Nancy, it is OK. I have to trust my doctors.” ’

How did he react to her call?

‘It was a beautiful moment. I was crying, like I am crying now, but he tried to make it [she means the terrible situation] disappear, make it OK. He said: “It will be OK.” He said he didn’t think about dying because he felt so well. He said: “I can’t believe the doctors tell me I have to die.” There were several more phone conversations, the last about six weeks ago.

‘We were talking, joking about the fact that we’d like to see each other again. I made clear that I would go and see him in Sweden.

‘I believe he was pleased but then, he was going a lot to the clinics and I think probably his companion, his girlfriend, didn’t agree, so I did not go.’

Now there is the matter of his funeral. This is being arranged by Sven’s partner, the former dancer Yaniseth Alcides – who shared the final years of his life – and his two children Johan and Lina (from his first marriage to Ann-Christine Pettersson, which ended four years before he met Nancy).

‘I am not involved. Why should I be?’ she says, before pausing and showing a certain self-awareness. ‘If I were, well . . . I would like to get myself involved, but . . . it is for them. If they invite me, I will go. I would like to go.’

Do you think Sven would want you there? ‘Yes, I do. But even if I do not go, I have arranged a Mass for him here in Italy. I will say my goodbye. I will pray for Sven.’

The tributes that have poured in from Sven’s former proteges, including David Beckham and Wayne Rooney, have been very moving. As have those from world leaders and others with whom he had professional contact. But what a muddle of hurt and tangled loyalties Sven left among those who were closest to him.

‘It still comes as a shock, even when you are expecting it,’ she tells me, fresh from a ‘most therapeutic’ walk along the beach near her home in the Italian region of Puglia, and a night when Nancy ‘took a pill’ to help her sleep.

‘I knew it was about to come, that it was very close, but you always think miracles can happen.

‘All weekend, I hadn’t been able to sleep, then on Monday a friend called me. I started crying on the phone. I was crying all day.’ She dissolves into tears again.

It’s a mark of Nancy’s continued claim on Sven that when she released a touching tribute on Instagram after his death, she referred to Sven as her ‘ex-husband’, even thought they were never married. She has corrected it to ‘ex-partner’, but says the mistake came because she has ‘always felt of him as my husband’.

‘He asked me to marry him. We lived together for all that time, as man and wife.

‘I gave up my husband, my life, for him. What is the difference?’

Who would have thought, when they met in Rome in 1998 – he was managing Italian team Lazio – that we could still be talking about Sven and Nancy?

Over the years both have written accounts of how their lives came to be entwined. They were in rare agreement that theirs was a particularly intense relationship. She calls it ‘destiny’.

‘I wasn’t looking for love. I had love. I was married to a wonderful man who loved me very much.’

Interestingly, Nancy talks today as much about her first husband, lawyer Giancarlo Mazza, as about Sven. The Swede stole her from her husband, but she went willingly.

‘With Sven it was a big passion, but I did love my husband. They were the two loves of my life.’ Equal loves? ‘Different. Sven was a big passion, but they both changed my life.’

Alas, it appears Sven thought he could change Nancy. It’s no secret he’d wanted to tone down aspects of her larger-than-life personality, as he wrote in his autobiography.

‘The torture for me was that I caused my husband [Giancarlo], a good man, such suffering,’ she says. ‘And he loved me completely. He let me be me. He allowed me to be Nancy.

‘Sven? I think he did love me but he didn’t want me to be me. I think it was a matter of confidence. My husband was a confident man, who knew who he was. Sven was not as confident.’

She also weeps today for the loss of Giancarlo. They became good friends before his death, two years ago: ‘He was always here for me.’

When you look coolly at her relationship with Sven, you have to ask Nancy if she feels it was worth it. There were no children, although there was a miscarriage. She says: ‘I do not regret that. Sven wanted to have children with me, but I always said I did not think that was for me.’

When she arrived in the UK on his arm, she became famous overnight. Her arrival at Tony Blair’s Downing Street in 2002 dressed in a plunging red rhinestone-encrusted catsuit and jacket remains a defining image – not just of the woman but of an entire era.

‘At one football match they were chanting my name, and I was told the game would not start until I reacted, so I had to wave, like the Queen,’ she says, remembering the moment with delight. But elements of the relationship were clearly flawed, and they almost destroyed her.

We all know about Sven’s very public affairs with TV presenter Ulrika Jonsson and Football Association secretary Faria Alam.

But the split came when she found that he had lost £10 million through a financial adviser who invested unwisely.

She is still livid about that.

‘Because I told him. The first time I met that financial adviser I said: “Why do you want to have anything to do with him?” It was offshore deals. Stupid.’

She was always portrayed as the excitable Italian and Sven the cool voice of reason, but as a lawyer, she says, in their relationship, the opposite was often true.

‘Actually, I very rarely reach the point where I am not in control,’ she says, adding that it was her loyalty that saved Sven’s England job.

‘I saved it twice!’ she says, arguing that it had been under threat after both sex scandals. By standing by him, she upped his chances of keeping his job.

‘I did it for him, for me, for us, and for England,’ she says of his affairs and while she was hurt, she was not broken.

‘Men do stupid things. Why be upset? I knew they were nothing. The things he told me about them. Well, there was no meaning to it for him.’

She does, however, believe Sven had a moral duty to ‘behave better than he did’ off the pitch.

‘We disagreed about this. Sven thought he could keep everything separate, that it didn’t matter what he did, as long as he was good at his job. I disagreed. He was a role model, not just for footballers, players, but for all those young men.’

Of course it was Sven’s judgment that did finally cost him the England manager job.

Six months before the 2006 World Cup in Germany he was caught in a classic red-top sting, saying he could lure David Beckham back to the UK from Real Madrid.

‘I could not save his job then like I had before,’ says Nancy. ‘But I always knew there was something wrong. I did not want him to go to Saudi (where the sting happened).’

Instinct told her he was walking into a trap. ‘I knew it was wrong. You know a woman has a sixth sense? But he would not listen. And then it was agreed he would resign after the World Cup.’

Sven took on other senior managerial roles, but his relationship with Nancy didn’t survive. She may well have had a nicer life had she stayed with her first husband. So was Sven worth it?

‘The answer is yes. And no. Let me say this, there was a price for loving Sven and I paid it. But I do believe in fate. Even if we think we are making decisions for ourselves, maybe we are not in control.

‘But did I love Sven? Yes, I could not have loved him more. I gave him everything I could give.’

On the Friday before Sven’s death (‘which was my birthday,’ she says), a moving documentary about his life was aired. Nancy had agreed to take part and was filmed whizzing along in a sports car, looking fabulously glamorous.

She hasn’t been able to watch it yet as it isn’t available in Italy. but when I tell her that, on watching it, I felt Sven’s true love was football – this is a man who changed the date of his first wedding because it clashed with a match – she agrees.

‘That doesn’t surprise me. Because it is true. Everything came second to it – his first wife, even his children.

‘In a way, it was easier for me . . . because he was already successful when we met. We could enjoy the holidays and the rest time, but the football still came first, always.’

Of course, the names Sven and Nancy will always be intertwined. She says she will publish a book later this year, so it will be interesting to see how much Sven features.

Whether she gets an invitation to the funeral, or marks his passing in a quiet church on her own, remains to be seen. It’s clear she will not just be saying goodbye to Sven.

‘It’s really difficult to bury an important part of my life,’ she says.

Her memories, though? Those will endure.

‘I have lost a part of myself, but I have such strong memories. Good and bad, yes, but this is life, no?’