They all appear similar (although they do not think so). A body that does not quite seem to have a height, it is tall, short, or average as needs demand. A blank face, with glowing eyes. Elongated, thin arms, and no mouth. The ones who have been in this universe longer can fly, as they are less bound by our nonsensical laws of physics.
They are the Ukh, and this is their afterlife.
Nobody is quite sure when the first Ukh appeared. They may have been here forever, they might have just appeared yesterday. It's like a smaller version of last thursdayism.
They do not feel the same emotions as we do, but the best term for what they are feeling when they appear is confusion. They come from another world, one where the laws are not the same. The idea of light does not exist. This does not mean the entire world is shrouded in darkness. It means that darkness and light simply do not exist.
Liquids, solids, gasses, plasma they are all one and the same. When they come here, it is like if we were thrust into a room full of flashing lights and darkness, where we had enormous weights on our backs, and needed to breath lightning or water to stay alive. They are in a world full of strange, slow, creatures. We would not last long in their world, but they can stay in ours.
One man managed to come back with his sanity and health intact from the world of the Ukh, known as 'Travos the Wanderer.' He confined himself to a tower, and most believe he died there decades ago. But some say he is trying to kill Ukh from our world, to summon more of them here... For what purpose, it is not known.
All of them have died before. Death seems to be constant in their world, one thing binding ours and theirs together.
When an Ukh appears in our world, they have just died in theirs.
For whatever reason, this is their afterlife. They are unclear on what exactly their world was like, except for 'very different.' None of them are ever brought back to their world, and any killed here simply fade away, and cannot be resurrected.
Hasty autopsies have been done before their body completely fades, and their bodies are hollow. For a long time, it was thought that they did not have anything inside them, but then scholars realized that when they are cut, they bleed an orange-white light.
Ukh have an almost completely alien psychology and physiology. They suffer little to no ill effects from things that would drive other creatures insane, and some of them have learned to ignore our more physical threats as well. Ones who have spent more time in our world can ignore gravity, granting themselves the ability to fly.
Any who look into their minds catch glimpses of their memories from life, and are often driven mad from the things they see. They become obsessed with Ukh, and try to seek them out so they may serve them. What they want most is to be sent back to the world of the Ukh, even though they know it will kill them.
Mechanically, a creature driven insane by an Ukh either becomes the loyal servant of any Ukh who promises to send them back (either when they can, or for a service), or will try and threaten and torture the Ukh into sending them back.
And, although much may be different in our world, Ukh still feel pain.
Ukh view the world much differently than us. They still dislike pain, are adverse to death, and feel fear, but they experience them all differently than us. Each Ukh is different, just like humans are different. Some might resent the afterlife they have been thrust into, some may embrace it. Some want to get home, some realize it isn't possible. Some know they are dead, others deny it.
Some Ukh war against creatures of this world, others are friendly, and more still seclude themselves, hiding away from this strange world in a place they enjoy. Some live in caverns under the earth, some high in the clouds, and still others in ocean trenches.
Some are curious, some are angry, some are sad. They have hopes and (pseudo)dreams, they have what amounts to ambitions, and even feelings of love.
Treat them as people. Alien, strange, and magical people, but people nonetheless.