Crime scene in Natsuhi's room

Axioms

Natsuhi's room was exactly the same just like usual! The door and windows were locked from the inside. There were no frauds or tricks, no means of secret passage nor places in which to hide! Natsuhi's own keys was in George's pocket, and the inside of the room was sealed off.
All of the master keys were under Rosa's control!
After the master keys came into Rosa's control, never did any of them leave her hands! Except for the time when she lent one to Battler to unlock Natsuhi's room.

Corollaries

Sayo closed the door of Natsuhi's room from the inside and then committed suicide

Like the previous scene in Jessica's room. This would represent Sayo's black witch coming out on top and killing George and herself in order to create the ultimate meaningless closed room, talk about mistaking the means for the ends.

Rosa somehow left the parlor and used her master keys to close Natsuhi's room

This is the version of events in which Sayo died early on. Since only Rosa could have closed the room, we are forced to assume she slipped away, possibly while Battler was asleep, and helped with the crime.