Sayoras are the ghostly tier above ghosts.
Sayoras are immune to the Spirit Scythe, fire, lava, fall damage, suffocation, and damage dealt by monsters, bosses, and anvils. Their only weakness is throwing them in the Pit of Hyuna, where it can take several hours in real-time for them to die. In order for a ghost to become a sayora, they must have enough leftover power before they die to use the remaining strength and apply it on themselves, turning them into sayoras.
It requires a lot of power to transfer into a sayora, though many have died in the past and live in a separate dimension that has over 13,000 sayoras living there. Only 11 are identified, however, and the rest remain a mystery. According to gameplay, Zerin hints that Scourge becomes a sayora after defeating him.