Some comments emerging suggesting that Benedict's rotary-wing departure (particularly the Colosseum over fly) was 'choreographed' - I have no idea.
What I
can say is that the Colosseum is pretty much en-route
Vatican > Castel Gandolfo:
Route: Vatican City > Castel Gandolfo (Red dot marks the Colosseum)
Yellow square (Vatican City), white circle (the Colosseum), red arrow (direction to Castel Gandolfo)
With a northerly departure from Vatican City followed by a right turn .. you would pretty much come out over (or very close) to the Colosseum.
Mary: Rome has restrictions over the Presidential Palace and Vatican City and has the usual built-up area resrictions .. I'm not sure what 'zoning' restrictions apply from Fiumicino to the west.
Government helicopters (of which there are many in Italy .. different departments) and of course the 'Vaticopter' are permitted over the City.