[The Shade simply seems... amused by the young pirate princess' apparent irritation, though it's only really evident by the slightest quirk of her lips. She isn't cruel about it, however, rather... fond.]

I am who and what I appear to be. ... I understand my current form is not one inspiring comfort, but I assure you that I mean you no harm, young princess.

[So yeah. Definitely a ghost. Have fun with that?]