It suffices to prove that if $P$ and $Q$ are positive semidefinite operators, then
$$
\operatorname{im}(P) \subseteq \operatorname{im}(P+Q).
$$
Once you have this, the statement follows by taking $P = \eta(a)$ and $Q = \rho - \eta(a)$.
Suppose that $u$ is a vector with $u \perp \operatorname{im}(P+Q)$. This implies that
$$
0 = u^{\ast} (P + Q) u = u^{\ast} P u + u^{\ast} Q u.
$$
As $u^{\ast} P u$ and $u^{\ast} Q u$ are both nonnegative and sum to zero, they must both be zero. Because $u^{\ast} P u = 0$, we have that $u \perp \operatorname{im}(P)$. We have just proved that
$$
\operatorname{im}(P+Q)^{\perp} \subseteq \operatorname{im}(P)^{\perp},
$$
which is equivalent to the first containment above that we're aiming to prove, so we're done.