Which is the story of Venus & Mars?
As Venus and Mars are shown here, there is actually very little in the way of a story happening. Mars, the Roman God of War, and Venus, the Roman Goddess of Love, were lovers, and this scene shows them armed and nude respectively, but not from any particular myth. The painter was mostly focused on having an opportunity to create a beautiful painting, probably for a wealthy collector, and simply chose these figures to do so. That said, Venus's pose, with her back to us, can be interpreted as part of a larger theme of showing Venus in this way because she was so beautiful that she defied reproduction.
Which part of Italy was this from?
Campagnola was Venetian! The artists working in Venice were lucky, because they had access to some of the best materials used to make paint colors, Venice controlled important trading networks. This painting may have been produced in Padova, a city near Venice that was part of the Venetian Republic.
How is this woman seen as Venus? Mars has his spear and helmet, but she seems very shy which is unusual.
It's true that Venus's posture here is quite demure. It's almost as if we the viewer are a voyeur catching her backside almost by accident.
There is a well known poem by a contemporary of Campagnola, Sannazzaro. In the poem, shepherds approach the Temple of Pales and admire its frescoes, smitten by the depiction of a Venus whose beauty so defied reproduction, that the artist had chosen to present her with her back turned.
Thanks so much for the answer! Wasn’t Venus also the wife of Mars?
You're welcome! Mars was one the lovers of Venus, her true love, but not her spouse.
Does the color blue has the still a similar reception today than in the 16th century? Or was it just because it was so expensive?
I think that in some cases the color blue became so closely associated with certain figures, such as the Virgin Mary, that those associations persist today. But the color itself doesn't carry the same connotations of wealth or divinity that it did during the Renaissance when the color was made using the expensive lapis lazuli pigment.