Banshees are spirits of the Forest of the Wailing Lord. They are minions of the Wailing Lord, and act as his guards.
In Pre-Searing, outside of Ashford Abbey and looking into it, a creature of the same appearance can be seen. However, it is impossible to interact with it. The image appears to be decorative only.
In Irish mythology, a banshee is a female spirit that is seen as the omen of death and a messenger from the Otherworld.