Hello, playing BG2EE, I ended the romance with Viconia in act 2, it was already said about leaving. And I have a question, won't her jealousy dialogues appear in the underdark?

if the romance is over then no but make a save before fucking anyone else because Viccy can be a tip-girl [change her mind] and its hard to tell if the romance truely is over...
fucking someone else will do it

I'm trying the best to remember the romance system, since it's been a while: You might want to get the game hacking program EEKeeper. Along with allowing massive cheating for those who want to, you can use it passively to check the status of your romances. I haven't used EEKeeper much, so what I'm recalling is from the older Shadowkeeper, but, at least with that program, if you look under global values, you can check a game variable called Viconiaromanceactive (or *romanceactive for any other such possible lover) and see what number is displayed there. 1 means you and your potential lover are still "flirting" (getting to know each other leading up to the romance), 2 means a full romance is active (this value remains even when you've exhausted the dialogues), and 3 means the romance is dead.

Dialogues, probably particularly with Viconia, are not always the best guide to whether your romance is still active. As a spoiler I can warn you that in her last standard romance dialogue in Shadows of Amn seems to end sadly, as she says she wants to break up with you, as basically she believes she is doomed. However, (again I'm recalling from a long time ago) if you tell her you want her to stay in the party for now without explicitly saying you are ending the relationship, the romance will remain active, i.e. the global variable will remain 2. All other active romance related events will still happen (such as Bodhi kidnapping your lover), and in Throne of Bhaal the romance will resume with new dialogues. In fact, if Viconia is your lover, it is even possible for her to change alignment to neutral if properly directed (with dialogue).

One more thing: as far as I know, being sexually unfaithful to any lover will ruin a romance with them. Actually, Viconia in Shadows of Amn may be more cynical than other potential lovers and, in some cases, may be quicker to forgive you. The main case I'm thinking of is Phaere in Ust Natha, where Viconia will forgive you with a cynical comment if you sleep with Phaere, while other female lovers won't or may not. (Note that while Phaere is coming somewhat close to trying to coerce you into bed, there are a number of methods to talk your way out of it, if you don't want to, though some depend on your ability scores.)