Deep Blue is following the Sicilian opening in Palermo (5)

I haven't cracked this one yet — but the brilliant team at Fifteensquared have:

Deep Blue is following the Sicilian opening in Palermo LA (=the Sicilian, i.e. an Italian word for the ) P <alermo> (“opening of” means first letter only) + IS; lapis lazuli, or lapis for short, is a deep-blue metamorphic rock