Is there anything in mythology, or anywhere else for that matter, where there's a species of people/animals/things that phase in and out between solid and not-solid? I'm looking for a name to call this group in my WIP and I kind of want it to be connected to something referenced in history.
Non-corporeal myths are everywhere.
Greek/Roman: Spirits or ghosts.
Celtic: Kelpies, naiads and dryads all are insubstantial when they leave their body of water or home tree.
Germanic: Poltergeists, and vampires could turn into mist.
Arabic: Djinni could turn into clouds of smoke, and their ghouls ('ghul') could turn into green mist.
Japanese: Oni -- kind of a ghost, kind of a demon.
Philippine (one of my favorite pantheon of myths): Dila -- a tongue that passes through walls to assault people inside houses, and the ghosts called Multo.
Where your story is based matters a lot. You might be best off making up your own name for the creatures, one that fits in with your world and the characters in it.