Ghost (Majora's Mask)

"They", according to Romani refers to the rather strange ghost-like figures that come to invade the barn and abduct there rare, precious Romani-bred cows in which they inherited from there father. They ressemble ghostly, glowing aliens that according to Romani come at night every year when the carnival approaches. It seems aliens have an interest in rare cows with the ability to produce a fine milk and it's up to you to save the ranch from a possible invasion.

Speculation has led many to suspect the Gorman Brothers are somehow involved in all this which is pretty believable considering the suspicion they're causing lately.