I don't have the PS2 version. But word is, she does. You always fight on her heaven stage (likewise, it's the same, only with Hell fopr Red Arremer), there's no Shin Akuma/Mr. Karate Fight only straight to Athena or Red Arremer and her ending is a measly text ending with the heaven stage in the background (similar to the "Bad ending" all the other characters have.
She and red Arremer also have PS2 exclusive transformations when they lose to each other (Red beats Athena, Red beats Red, Athena beats Red, Athena beats Athena)
I wish someone could take screenshots of these transformations since no one's really seen them. Athena's Demon transformation is supposed to be a blueskinned succubus (ala Morrigan) I've heard.