I think the way Venice plays disturbs the game. Is there any way to disable that civilization, apart from choosing all AI individually?
Out of the box, there is no way to blacklist certain civilisations.
Your best options are:
Selecting the civilisations manually as you note, using the in-game Advanced Setup feature.
Using the Really Advanced Setup Mod, which allows you to disable civilisations one by one, as well as a number of other setup options (starting biases, units, terrains etc.)
Manually disabling the civilisations you do not want to be selectable, in the game config files.
To manually disable the civilisations open the config file "Civ5Civilizations.xml" in a text editor. Find the civilisation you do not want to be selectable (Venice) and add the xml line
<AIPlayable>false</AIPlayable>. This will disable the AI's ability to select that nation.
Of course, regular disclaimer that using mods, or manually editing game files is at your own risk.