Just hooking a speaker up to an Etherwave won't work, there needs to be an amplifier beween the theremin and the loudspeaker, which on the input side doesn't distort the relatively high (line) level signal, and an output impedance that roughly matches the impedance of the loudspeaker and a wattage that is not higher than the loudspeaker can handle. Personally I'ld prefer a small tube amp like maybe a guitar amp modified to have less input gain than what most guitar players want, or a mono line level tube amp. Otherwise a keyboard amp with output for an external speaker.
My own current amp(s) & loudspeaker(s) setup is a Fender Greta with a lower gain preamp tube and an upgraded internal speaker, usually going into a 1950s vintage open back radio extention loudspeaker cabinet and/or a Vox Lil' Night Train with a lower gain tube in the phase inverter stage, going into its matching front ported closed back cabinet with a 10" guitar Celestion (?) 16 ohm loudspeaker (and at least a diamond patterend grill cloth). The loudspeaker in the vintage cabinet is also around 10" and the impedance probably 8 ohm (DC resistance ~ 5 ohm). The Etherwave's audio out goes into a preamp with level adjustment, then sometimes an effect pedal, then going into a Vox Valvetronix Tonelab modeller/multiFX unit and from there into one or two amps, or one of the amps gets directly connected to one of the outputs of the preamp. The Greta and Lil' Night Train are both not in production anymore, but could perhaps be found for sale 2nd hand.
If the Diamond speaker is in good condition, it should not sound terrible (ok, that depends much on the playing as well, but just the sound in itself should be good, just as my 1950s cab sounds good with a nice acoustic quality to it).