There's been a lot of speculation on this character, but since as mentioned above we've had a lot of "ghosts" in the games (like with the Old Chateau, Marvelous Bridge in BW, Strange House in B2W2), they might be just doing this as a recurring theme nowadays. Although i'd like to believe it serves some purpose, I can't really place my finger on what. Since the Lunar Wing in B2W2 was something that the ghost girl in the Strange House said she was wanting for something, as mentioned above this one might be connected to Hoopa (the Ghost/Psychic-type). Or maybe there'll be a Darkrai event in ORAS sometime soon? Maybe something like that.