To unlock each ending, you must finish the game a certain way. For ending J, you'll need to:
Optional: You can start at Civitavecchia (level 2 below).
Level 1 - Keep left.
Intermission 1 - Leave Ogla (drive with Gorilla).
Level 2 - Keep right.
Intermission 2 - Leave Gorilla (drive with the Priest).
Level 3 - Be nice to the priest and gain his trust.
Finale - Nothing.
Video courtesy of Dernop