Exactly the same thoughts! if one day I will go to Venice, I would love to step the same places Indy did!!! wow, well, they did shot in St Marcus square at the beguinning when Indy mets Elsa and when they scape to the boats....as for the name of the church library, I can't help you out...but maybe some of the members here can.
The 'Ah Venice' exclamation was due to be a romantic place to be mostly for the lovers...there is that tradicional boat with the singer at the time Indy is kissing Elsa, so he thought it was romantic and exclamed 'Ah venice..' *sigh*