Answer: The answer to the question is probably best answered by quoting from Prof. Gessi's article referenced below:

"The collection was established and supported by Pope Pius XI. It came into being during the international Exhibition of Milan in 1934, when the Vatican exhibited a precious display of Roman States issues in its Pavilion together with 1929-1932 Vatican sets."

Reference
• Prof. Leone Gessi, "The Vatican's Collection" National Philatelic Museum Volume 7 Number 1 pages 148-153 (This publication was produced for the 1954 Marian Year Philatelic Exhibition held in Philadelphia September 22 - November 5, 1954.)
• Thomas I. Crimando, Philatelic And Numismatic Museum Vatican Notes Volume: 36 Year: 1988 Issue: 4 Page: 1



  Philatelic & Numismatic Museum Inauguration
Scott # 793-794 (1986)



  Aerogramme - Vatican City Numismatic and Philatelic MuseumI
# A30 (1992)