If you play through and complete the game in Etna mode there are a couple of different endings which can be viewed:
Normal Ending - Just comple the last chapter in Etna Mode. Beauty Tyrant Overlord Etna Ending - At the Dark Assembly, pass the proposal for Alternate Netherworld and The Mysterious Seal, then defeat Priere, Marjoly and lastly Baal.
Before you can open Etna's room you must first locate the and press the two secret buttons in Laharl's castle. These are behind the throne and inside the skull on RosenQueen's store counter. When you have managed to press both buttons go to the room Ghoss, Longinus, Gargo and Stigma are and in the corner behind Stigma press 'X' to reveal the door to Etna's room.