In his ideal Shadow Assassin figure he is inhumanly pale, and combining his shadow abilities with possible blood magic learnt from his connection to Rhaast could very much allow him to fashion a body for the apex assassin he wishes to be.
"Kill the body"
"Kill the body, build the body, free the body"
I think it was actually explained in the champion insight,that users of shadow magic get white markings on their body once they master the shadow magic and that the reason why Shadow Assassin Kayn is so pale is because his body is simply covered in those markings.
Just like Varus can create a body of his own in his image, I think Kayn made one for himself. The only reason why it doesn't have horns is because Kayn is one egotistical bastard.
