Mussolini was a bag of hot air he ruined Italy promises of being a major power with the failure of modernizing the military and the lukewarm support he and the Fascists had by the time World War 2 came along. (Allowing Hitler to carry out Anschluss.) The only thing he got right was becoming the first Fascist leader, but that's it.
In the face of defeat in Ethiopia, and allowing Italy to be beaten AGAIN by the Ethiopians, I doubt he could survive long enough to carry out an invasion of Albania, or Yugoslavia. Italy for me just stay out of everything, and wait out the War. Whole Fascist government could be kick out of power. Even if he survived, I doubt he would be able to carry out any more invasions in the face of him wasting Italian lives in a failed war in the Horn of Africa.
(It would also become a safe haven. Before 1938, there was a number of Italian Jews were sympathetic to the regime and occupied significant offices and positions in politics and economy. Mussolini had hope to use Zionism to gain influence in the Middle East and mess with the British Empire. Even founding the Betar Naval Academy, an Jewish naval training school, that would be the foundation to the future Israeli Navy. And the Italians in fact favor the Ethiopian Jews when they invaded and conquer Ethiopia in OTL.
It was only in 1938, under Nazi influence, that Rome pass the Italian Racial Laws.)