I don’t think there’s documented proof that his dad was nationalized before Mittens was born.
Naturalization for Mitt's dad was not necessary.
Mitt's father, George, was born in Mexico to U.S. citizen parents. George obtained U.S. citizenship at birth via the 1940 U.S. nationality law. George Romney was not born with Mexican citizenship, even though born there...because he was not born to Mexican parents (Mexican Constitution of 1857).
Mitt's father George (& his mother) were both U.S. "citizens" who held no other citizenship when Mitt was born in the U.S.
Therefore, Mitt Romney, was born in the U.S. to 2 U.S. citizen parents (mother a natural born Citizen and his father a citizen by statue). He is a "natural born Citizen."