He did love both Appollonia and Kay, that is clear. It was love at first sight with Appollonia, but I think his love with Appolonia is symbolic and systematic of the deeper connection that was taking place at the time with his roots, to his geographical home, his kinsmen, their way of life and his culture. Not to mention the Cosa Nostra. Michael was taken to Sicily, but ended up connecting deeper with his culture over this period and evolving and drastically changing.

With Appollonia I think part of the attraction was his attraction to this way of life he had shunned, a watershed of sorts took place in his mind. Kay on the other hand represents a part of his life he always has had. The civilized, anglo-americanized size, his return to her is in my opinion symbolic of a return to his american side.