I think Thresh is like the Jailor of the damned character, who collects the souls of the deceased. Considering his death animation, he himself is a twisted soul, and collects other souls of the damned using an enchanted lantern. He hungers and thirsts for more souls, even active hunts for victims.
Kalista, on the other hand, is the Embodiment of vengeance. Enough magical energy makes up the fury and hatred of people where her existence can be real. Think of her as all the souls with "unfinished business", hunting for the traitors who killed them/betrayed them in life. This is also why she refers to herself as "We" instead of "I". I imagine that Kalista would be a good snack for Thresh, and the two often play cat and mouse... (Think of how many souls have it out for Thresh for eating them? they want vengeance against him!)
but yeah.... I think they exist from the same dark energies, but are definitely not buddies.
Conspiracy Time! What if souls that want revenge and are consumed by Thresh create shades like Nocturne or Fiddlesticks?!