I think you may misunderstand what GeneMania does: "however, I never managed to extract the exact paper for a particular evidence.". GeneMania computes a measure of functional similarity between genes based on a number of data sources. For each link between a pair of genes, it gives some weight to the data sources and you can retrieve these but it doesn't mean that the paper or database contains a direct evidence for the link, only that it provides the stated amount of support to it.
Also I don't think GeneMania includes explicit co-localization data unless you consider its use of GO cellular component annotations as indication of co-localization.