Yorick and the maiden of the mist

It isn't clear, but we can assume/derive some stuff about her from how she appears in game.

She's an amalgamation of multiple souls. In her voice you can hear a bunch of voices; there's even a little girl voice in there that sounds happy and youthfully cheerful.

She's also on the side of the Ruined King and the Harrowing, so she's being used by Yorick against her will.

That's all we can really tell.

His waifu

Since Yorick can hear the dead the maiden is simply the mist personified.

Its a manifestation of the Black Mist itself.