Resolved!!!
I do the same "jump level" trick with Gloom AGA and at the start of zone 2, the game say "write enable data disk ". I do and the game continue. Later, when you run the game again you can select start the zone 1 or 2.
I do the same with Gloom Deluxe and the game run OK now to zone 2. So the data disk must be write enabled.