Heta Oni/WMG

Who or what the heck is Ryuuzu?
This troper thinks that he/she was the previous owner of the diary, and that somehow managed to escape, but left the journal to help some poor unfortunate souls....
 * Now I've got that song in my head, and it does fit Heta Oni. Anyway, This would seem to be the logical concusion, but nothing is really that obvious in Heta Oni, so I think this will be Jossed.
 * This troper, on the other hand, thinks that Ryuuzu will end up being the Thing. The Thing is the only other one that can go back in time, after all...

The mochi is Ryuuzu.
Who else can it be?

The monster is Ryuuzu
He was the first one to enter the mansion. After creating the journal and going through hundreds of time loops to save his friends, he went insane. Now, he uses the journal and mansion as a game, a means of entertainment. He watches as the current journal owner goes insane and gives up. He is determined to make others suffer as he did. He doesn’t know that Italy will be the first to break this vicious cycle.
 * Alternately, whoever uses the journal CAN save their friends, but at the price of becoming the Monster themselves
 * Alternatively, a person trying to go through time to save their friends from the monster is titled Ryuuzu. If they die, perhaps under certain circumstance, they lose all sense of self and become the monster themselves.

Holy Rome is trying to tell Italy something...
I'm betting it's 1)How to get out, or 2)How to kill the monster
 * 3) Holy Rome knows how to get Iggy's magic back fully, and/or 4) Holy Rome's going confirm that HRE=Germany in the Heta-Oni verse

About the mansion and the monsters...
What was the origins of the mansion and where were those monsters came from?

It isn't real...
... Italy finally snapped under the strain of always being controlled and went psychotic. He lured the nation-tans into the house, and started killing them. However, in his insanity, he lied to himself and said "Steve" was chasing and killing everyone, and he was protecting them. That's why all of their last words were usually encouragement. He started losing his mind and forgetting stuff, so he made up the past time loops. In the end, he will finally realise what he did, and probably go even more crazy.

The voice Prussia is hearing...
... are the souls of the other people that died in the house. Nuf' said.
 * My theory is that it's Holy Rome and, if there is indeed more than one, some other dead nation-tan/s, maybe one of the Ancients?
 * On the other end of the scale, the voices are really the monster getting in Prussia's head and messing with him.

This proves Italy is a Time Lord
Because he can travel through time, ya'know. And the journal/clock is his TARDIS.

The monster is really an entity similar to the Teselecta from Doctor Who
Okay, hear me out. Now, in the episode, "Let's Kill Hitler" we are introduced to a group from a Justice Department in the future, who travel in a shape-shifting, time-traveling android in order to punish people who have comitted great crimes in the past. Now, what if there was a rogue group in the Justice Department that stole an android in order to "punish" the nations, whom they deemed as the "source" of the crimes? Of course, they'd just start off with Italy and Co. but, move on to the others later. They take the form of an Eldritch Abominationan alien monster in order to freak them out. As for why they allow Italy to go back; it's just a twisted game and they actually planned to just kill the other nations later on, not witholding to the

Italy is the monster's Living Battery
Think about it. The monster is constantly getting bigger and stronger, yet there is no logical cause for this. Italy seems to be the mansions' target and he's losing sanity and memories quickly. Conclusion? If the monster ate Italy, it would be invincible. Cue Oh Crap moment.
 * Well, it was said that all the other nations also got stronger. So, kinda like even though they're going back in time, everyone retains the strength they gained battling the monster/nations.

Latvia is a Steve
Translate Raivis (Latvia's "human name") into English and you'll find out why

The location is in an independent place and time
Japan says that the room that Germany built took 'years' but if Germany was the one who built it, that's impossible since I doubt that everything that happened while people still had their old icons happens in the span of time it takes to build the room. Whatever allows Italy to travel back in time also puts a sort of suggestion in Germany's head to continue building every time Italy restarts and they're led to the place.
 * By most fairytale and magical standards, this is definitely the case. The safe room is above the second floor and below the third floor of the mansion - a border area. As for Germany, it may just be that the 2nd-loop Germany ended up spending years building the place after 2nd-loop England went back in time.

The nations aren't actually anthropomorphic in universe
They are literally their nations. Their minds emerge from the interactions of their people, Kinda like ours emerge from the interactions of our neurons. This explains why Italy couldn't convince them in the 2nd loop. His people don't remember what happen. The information is only stored in their minds implicitly. Many of their idiotball moments can be explained as the metaphor breaking down. It also explains why their stats seem to have almost nothing to do with their militaries.

The mansion is a place that attracts regrets.
It explains what Holy Rome is doing there in the first place - he's got the regret of not fulfilling his promise to Chibitalia. It also explains why Japan's embarrassing hentai and that marriage license of France and England's (in the English version of the game) are in the mansion - those are both things Japan and England regret!

The mansion is a Witch Barrier and the Steves are Familiars.
The mansion was originally home to a lonely rich girl who had a strong interest in aliens and the like. One day, after being bullied by some classmates for her hobby, the girl made a contract with Kyubey (having no idea he was from space himself) to meet and befriend one. Unfortunately the alien was taken away by the government and the grief of having her only friend taken away turned her into Witch. After killing her family and turning the mansion into her barrier the witch spends her days murdering anyone who comes into the mansion and taking joy from the pain of loss from the survivors.

In the end

The events experienced by the Nations in Heta Oni brought about those of the Modern Warfare games.
While the Nations are trapped in the mansion experiencing all the madness and horror, what happens to their peoples back in reality? Simple: complete chaos. The world begins to destabilize bringing about all sorts trouble, including the rise of the Ultranationalists in Russia. If the games are also any indication, torture and atrocities become much more frequent parts of life, while the likes of Makarov and Shephard are free to have their way with whatever they wish.