Maybe this isn't what the original poster had in mind, but in this song, the "ghost" seems to be a metaphor for depression itself.


BLACK GHOST BLUES
As recorded by Merline Johnson, "The Yas Yas Girl," 1940.

Ev'ry time I go to sleep, a black ghost would come to me. (2x)
That's why I'm blue, blue as I can be.

I had a dream last night that the black ghost was knockin' on my door. (2x)
He said he come to tell me my man didn't want me no more.

Go away, mister black ghost; please don't bring me no news, (2x)
Because I don't want to have these mean old black ghost blues.

Black ghost, black ghost, you calls me all the time. (2x)
Won't you please stay away, so I can help this man of mine.