That's either a Wraith, like a big one/one that came directly from the void between worlds, or ANOTHER type of Denizen from the void, when you speak with Mallach (Catfolk's "God") he clearly hints that he cannot open a portal to save Cait's sister because Wraiths ain't the only thing you gotta worry about when dealing with portals, and that he won't just risk the souls of the entire world to just save Cait's sister (no matter how Devout she is as a follower) because "Wraiths & other things" will be drawn to the world like moths to a flame, but hey that's just my 2 cents.