Roman writers used "umbra" or "shadow"/"shade" as a word for specters, phantoms, ghosts, etc. They had many other words, too, but this is probably closest to how dead apparitions were physically perceived.
I remember some tradition that Roman ghosts were often associated with or seen as blue for some reason? That's only my fuzzy and likely incorrect memory though, from when I was studying in college. I have a memory of a play or piece of literature where a candle flame turns blue and it was meant as a cue to what was about to happen.