More likely than not your Grandfather was not from the City of Zagreb. Simply stated there was little reason to leave the big city. As you can see by the place your father mentioned he was from a village... selo means village. But Wally would not be a Croatian name as there is no W in the langauge and no W, or woo sound. But it may be Velliselo. But let's see what we can find. Today Veliselo is called Cetingrad and is about 65 miles or so from Zagreb... a beautiful area which I have been through a couple of times on my tours.
Could this be your family as found in the 1930 Fayette Co, South Union census?
E Frank Brajdic 33 Alien arr US 1905
Eva Brajdic 19 born PA parents from Austria
George Brajdic 4
Helen Brajdic 3 3/12
Frank Brajdic 1 6/12
I believe I may have found his WW I Draft Registration but it gives no place of birth... he was living in Pittsburgh at that time.
Searching ship arrivals I do find someone coming from Cetin (the grad in Cetingrad means town) arr 1911 details below
Name: Franjo Brajdic
Arrival Date: 23 May 1911
Estimated Birth Year: abt 1895
Age: 16 Years 3 Months
Port of Departure: Antwerp, Belgium
Ship Name: Vaderland
His father is listed as Juro (=George) at Cetin.
The manifest is not very legible when it comes to his destination but it looks like he was going to a brother BRAJDIC.. first name ???? maybe Stjepan which would be Steve.
He was detained and held for a couple of days but I see no reason as he apparently had a ticket (train) to his destination and $23 which was not bad for those days. I noticed his height is listed as 4'8"
There is a notation that was made in 1936 (done to verify legal entry into the US) when he applied for US Citizenship at INS Dist 6 which in those days was Pittsburgh and SW PA. If this in fact is your GF then you can send away for those papers (but I would check with the Carniege Library first) which will give his birthplace.
Many of the Croatians in the Pittsburgh area came from the area of Cetingrad (known as Kordun region) I've had a few Cindric families on my tours who came from that area.
If any of this info is your GF let me know.