Clearly aliens? Oh, I don't know. The way "They" are portrayed makes me think of both aliens, and monsters. They look like some sort of monsters to me, or ghosts, but more like monsters. I seriously doubt they are ghosts- we already know, form meeting the phantom of Dampe in oot that these ghosts are transparent and immaterial.
But, as we can can tell by sticking arrows in in them, "They" are solid.
Therefore, we can rule ghosts out as being what they are. Aliens, though...
They look like monsters, but the way the act...Teleportation, Beaming up the cows, and romani, appparently brainwashing her or removing her memory...these all seem quite typical of what people think of as aliens.
I think this is going to be quite hard to tell...."They" seem to blur the line between monsters and aliens.