Since Sirius's "dead"(I'm one of those people who refuse that he is really dead) body fell behind the veil and did not appear again, I think there might be the possibilities that behind the veil was a rip in the thread of time? A way into a parallel universe? I don't really know what I think about the veil, if Sirius's body had appeared then I would guess more logical guesses.
Such as behind the veil could be the echoes of voices from the past. Even though this guess does not make much sense, I think it makes more than a parallel universe.
As for the room that is never opened, there are so many possible things that the room could hold. When I first read the scene in with the room appears, I thought that the room held death. Looking back I see how silly that was, since death is not like an animal that can be caught and imprisoned at will. But whatever the room holds would have to be of great importance and dangerous (maybe not dangerous but something that would result in something un-positive). That room sort of reminds me of Pandora's Box, the box which held all the evil of the world and when opened evil was released. Yet at the bottom of the box was hope, which sort of made all that evil, tolerable.
~Lady Black~