Ghost (Majora's Mask)

"They", according to Romani refers to the rather strange ghost-like figures that come to invade the barn and abduct their rare, precious Romani-bred cows which they inherited from their father. They resemble ghostly, glowing aliens. According to Romani, They 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.