If Evelynn is undead then that being the mist just wouldn't make any sense now would it?
Because like said, nobody "commands" the mist. The only thing that MAY be able to command it is the Ruined King. Yorick commands some souls IN the mist, not THE mist.
"Almost lost within his grief, Yorick began to speak to the spirits around him, attempting to find solace with them as he had as a child. Instead, as he communed with the Mist, corpses left their graves, guided by his voice. He realized the bodies he once laid to rest were now his to command."
You can't just pick up some mist, put it on your body and then use it's powers.
If she is undead then the mist would simply ignore her but let's say the mist and she have an agreement so that Eve is sucking human's life out (Succubi) and giving it to the mist, in return the mist grants her it's powers. Problem is, the mist isn't something smart, it isn't a single conciousness (Read Maokai's lore if you don't know what I mean, it explains pretty well how the mist behaves). As soon as you touch it, it consumes you.
"Cursed upon touch" - Yorick's ingame quote
The reason Yorick is "carrying" the mist is not because he wants it:
"Isolated tendrils of the Black Mist clung to him, trying to overtake the one living thing not yet corrupted. As the Mist wrapped itself around him, Yorick saw it suddenly recoil from the vial at his neck. Yorick clutched the blessed water, realizing it was all that kept him alive." - Yoricks Lore
That's the reason why Yorick has the mist on his body but Eve?
Now let's say Eve is a manifestation of the mist (even tough mist isn't smart or a single conciousness). But in that case Evelynn couldn't leave the shadow isles.
I just find it highly unlikely that the thing covering her body is the mist, unless riot wants to make her a special snowflake wich I would hate (Main reason I hate Kayn)