As far as I know you can use Word to search for an italicised string and replace it with a non-italicised one, but you can't replace it with a partially italicised string. So the following two-step workaround might be the only thing you can do short of using VBA:
Search for "See, e.g.," (Font: Italic) and replace all with "See, e.g.~~" (Font: Italic)
Search for "~~" (Font: Italic) and replace all with "," (Font: Not Italic)
Note: Of course you can use any unique string in place of "~~".