Nice analysis of a similar depression in the Med on the 26th September 2006:
http://www.mmm.ucar.edu/people/rotun...es/weather.pdf
As Snowstreams says, they are basically a Mediterranean version of a Polar Low .
This satellite image was taken earlier that morning before the cyclonic feature developed fully off the SE coast of Italy:
Fax analysis for 0000 UTC - 27th Sept 2006:
shows that the mesoscale depression formed in a cold sector, similar to Polar Low features in the North Atlantic*
EDIT: *Actually, that is not strictly true in this case. A further look at the DWD analysis charts shows that this mesoscale feature developed more or less along the actual surface cold front rather than behind it which would make its formation less Polar Low like, although the feature did seem to separate itself from the front and into the cooler sector as it matured later in the day. (open to contradiction)
2 metre temp analysis for 6z:

shows a tongue of very warm air being drawn up from N Africa ahead of the front which no doubt helped to feed energy into the developing low. The small scale low developed more or less along the 15c isotherm along the south coast (Italy) which is roughly where the cold front lay around that time.