I remember looking into this quite closely a while back after someone on youtube said that it sounded like Vergil and the proof was in it's voice
seems to just sound like a distorted demonic echo only a little delayed. Like when Dante in in his demon/dreadnaught form it makes his voice echo like he is in a suit of armour. It's a little different for Nero as he and the demon are still seperated.
Check this one out, the last move he does "your going down" it's a bit clearer to hear the ghost say the same thing.
http://www.youtube.com/watch?v=lcZELXj-9ts
But it's not an echo it's more like they are a hive mind begging the question of whether it is a slave to his will or that it is consciously communicating with him mentally and harmoniously working with him out of choice.
Thats my theory anyway, that they wanted to make the ghost a copycat but subtlety different to make it more menacing so it doesn't just copy what he says, it mirrors the gist of what he says with a sinister demonic groan.