If you engage Mountain Mode with more than 40% battery remaining, the Volt will continue to operate in Battery electric mode until you reach 40% charge, at which point the engine will kick in and the car will operate as if it had a fully depleted battery, but maintain the 40% state of charge.
If instead you engage Mountain Mode below 40% state of charge, the engine will come on and not only create electricity to drive the car, but also create additional electricity to charge the battery back up to 40%, where it will then resume just creating enough electricity to propel the car.
One other detail. If you engage mountain mode after you already used ALL your battery up, and had been on engine power, then if you eventually return to normal mode on your drive, you will get battery electric driving for the charge that the battery has accumulated (i.e. the engine will be off), but the car will still count these on the display as gas miles and not electric miles. This is correct to do, since the energy here was derived from gasoline to charge the battery.
If you engage mountain mode before fully depleting the battery, and eventually return to normal mode during your trip, then the car doesn't know for certain what energy came from gas versus the wall, so it will count any battery electric driving here as electric miles and not gas miles.
Well that was a mouthful! Hopefully this helps

As others stated, in most scenarios it is usually best to just drive the car in Normal mode unless 1) you need mountain mode to go up steep terrain for many miles, or 2) you know for certain that you will re-engage normal mode before you end your trip, and still use all the electric miles before the end of the trip. If you don't use all the electric miles by the end of the trip (i.e. deplete the battery completely), you've effectively used more gasoline than if you had just left the car in Normal mode.