Both etifoxine and alprazolam (Xanax) bind to GABA(A) receptors, however distinctly. GABA(A) receptors are formed of 5 subunits combined in various ways. Most GABA(A) receptors have 2 alpha subunits, 2 beta subunits, and one gamma subunit, e.g. you can have a GABA(A) receptor built from two alpha-1's, two beta-2's, and one gamma-2 (these are actually the most common subunits).
Benzodiazepines are positive allosteric modulators at GABA(A) receptors, which means they bind at a different site than GABA does and they change the conformation of the receptors, so GABA can bind stronger, hence the anxiolytic and muscle relaxing effects among other effects. Etifoxine seems to be doing the same thing but it does that binding to different subunits.
Now classic 1,4-benzodiazepines mostly bind to alpha-1, alpha-2, alpha-3, and alpha-5 subunits, and etifoxine binds to beta-2 and beta-3 subunits. So alprazolam will bind to GABA(A) receptors at alpha-1 subunits while etifoxine will bind at beta-2 subunits. The idea of taking both drugs together is that they bind at different sites, so they don't interfere with each other, but possibly complement each other creating a stronger effect. However, I don't really know why you would do that. Prolonged use of benzodiazepines changes conformation of GABA receptors for a very long time, that's simply damage. Etifoxine is said to have fewer side effects, but I've no idea whether it may cause a withdrawal similar to withdrawal from benzodiazepines. I suspect yes, but the question is how severe it is.