Read my review of Twilight Lady Volume 1: Demon Corridor if you want to know what kind of comic this is. Although this is not a numbered volume, you can think this as Volume 1.5. I recommend you to read Volume 1 first.
The three stories here can be read in any order. Below are some spoiler-free comments.
“Peace Time”: This is a humorous character study. Once again the characters are believable because their motivations are made clear. Tight writing. Chen's art keeps improving.
“The Disappeared”: The main story from Volume 1 continues here. Macabre and brutal can be beautiful. Humorous twists with non-humorous and twisted bad guys. Who is the biggest bad guy? The ending was surprising and therefore good. Art is “cinematic”; this could work well as a movie.
“Twilight Lady Sings the Blues”: This story feels non-canonical. I don’t fully understand it and its implications, so I keep my mouth shut. Art is OK, although Jen looks very different. In my opinion, Chen himself is the best illustrator for this comic. Others are not spooky enough.
My conclusion: Two of the stories are excellent and one is OK. This is an essential volume for those who are interested in the adventures of the mysterious Lady.