Late bloomer Paolini is the first Italian woman to win the Rome event since Raffaella Reggi in 1985 after overcoming former US Open champion Gauff.
Jannik Sinner set up a blockbuster Italian Open final with Carlos Alcaraz by beating Tommy Paul 1-6, 6-0, 6-3 on Friday.
Carlos Alcaraz set up a semifinal meeting with Lorenzo Musetti at the Italian Open on Wednesday with a 6-4, 6-4 win over Jack Draper in the last eight, while women's world number one Aryna Sabalenka was knocked out.
Men's world number one tennis player, Jannik Sinner, offered to rally with Pope Leo XIV on Wednesday, after being received by the head of the Catholic Church at the Vatican.
Jannik Sinner came through the first true test of his comeback from a doping ban with Tuesday's straight-sets win over Francisco Cerundolo which took the world number one into the Italian Open quarter-finals.
Carlos Alcaraz reached the Italian Open quarter-finals on Tuesday after battling past Karen Khachanov 6-3, 3-6, 7-5 to continue his bid for a first Rome title.
Djokovic stunned the tennis world in November when he hired the retired Murray, who had no track record as a coach.
Jannik Sinner made a triumphant return to tennis on Saturday by beating Mariano Navone 6-3, 6-4 at the Italian Open, his first match following his doping ban.
Holger Rune beat world number two Carlos Alcaraz 7-6 (8/6), 6-2 on Sunday to win the Barcelona Open for the first time.
The top-seeded Zverev, appearing in his first final since losing to Jannik Sinner in the Australian Open title decider in January, had little trouble dealing with Shelton, ranked 15 in the world.
Carlos Alcaraz battled into the semi-finals of the Barcelona Open on Friday with a 7-5, 6-3 win over Alex de Minaur after Casper Ruud's title defence was ended by Holger Rune.
Sinner accepted a three-month ban in February following an agreement with the World Anti-Doping Agency, which challenged an independent tribunal's decision to clear him of wrongdoing after two positive tests for the anabolic agent clostebol.
World number two Carlos Alcaraz came back from a break down in the second set to defeat Ethan Quinn 6-2, 7-6 (8/6) and reach the Barcelona Open last 16 on Tuesday.
World number two Carlos Alcaraz took aim at his critics on Monday after winning the Monte Carlo Masters at the weekend.
Carlos Alcaraz won his first Monte Carlo Masters title on Sunday with a 3-6, 6-1, 6-0 victory over the Italian Lorenzo Musetti.
Carlos Alcaraz booked his place in the final of the Monte Carlo Masters for the first time with a dominant 7-6 (7/2), 6-4 win over fellow Spaniard Alejandro Davidovich Fokina on Saturday.
The fifth-ranked Djokovic struggled to find his rhythm in a 6-3, 6-4 loss to Chilean Alejandro Tabilo in the second round, making an inauspicious start to his clay season.
Jannik Sinner will return to the ATP Tour from his doping ban at next month's Rome Masters as world number one after the Italian's closest challenger Alexander Zverev crashed to an early defeat in Monte Carlo on Tuesday.
