Italy's army was at its pinnacle in the 1920's, and much of its equipment had over the 30's and 40's became obsolute. Tankettes, biplanes, etc...
So the order of invasions went like this OTL:
Ethiopia
Albania
Yugoslavia
Greece
And IITL:
Greece
Yugoslavia
Albania
Ethiopia
So what would be the effects of such a campaign, and is it possible?
Actually the Italian military in the 20s blew. The Aeronautica was poorly equipped with only about 200 serviceable obsolete planes, the Navy was better, but no match for France none the less England, and the army was still having growing pains and had WWI era artillery and relied on horses for transport.
The Mid 30's were about peak in quality and near peak in quantity, but still hamstrung by poor coordination and laughable leadership, despite the ability of the soldiers and NCOs. By 1940, however, they were out of date and over their head.
But enough tangent

, to answer the OP it is possible, but improbable and very hard and costly slug-fest unless Italy seriously reforms the military starting in the 30s.
Preventing OTL Ethiopia merely requires British opposition in fact, not just in name. Close the Suez Canal and Gibraltar straits and Italy can't even get troops to Eritrea...and blockade commerce in the Med and Italian industry shuts down. The RM had no real chance against the RN.
So let's assume the UK says "no deal" in 35 and Mussie's not a total idiot, so Ethiopia's out for the moment.
So: Europe goes basically as OTL with WW2 in 39, but now Italy stays neutral.
Invades Greece in 1940 as a "parallel war", neutral with UK/France who have their hands full anyway. Assumes Albania (an Italian protectorate anyway) joins in, possibly bring Bulgaria on board, even possibly (and ironically) Yugo. Probably Pyhrric even without UK opposition if OTL is any indication. But lets assume for whatever reason the Italian army is better prepared and wins a slow slog in Greece.
Now simply annex Albania. It's a protectorate already.
Now, assuming the RE and RA are still in fighting condition after that ugly slug fest in Greece, turn around and invade Yugo, possibly with Hungary and Bulgaria on board. Another hard slug, but possibly exploits internal divisions and brings in anti-Serb allies.
Afterwards, France down, UK involved with Germany and possibly a Norway invasion scheme, Italy can begin the buildup and invasion of Ethiopia. "Neutral" Italy can simply use the canal since the UK is otherwise too busy to care.
Also possible: Yugo->Alb->Greece->Ethiopia
If France is tied up in 1940 you could have Italy in "parallel war" invade Yugo and probably eventually win (but with more difficulty than they imagined). Then the simple annexation of protectorate Albania then into Greece, possibly, assuming the UK is tied up still and Italy is still officially neutral. Then on to Ethiopia.