Cold Ones

Cold Ones—also known as Ylidheem—are semi-corporeal entities that appear as ghostly, wailing, humanoid silhouettes of whirling snow and vapours. They are only encountered in areas of bitter cold, and can appear or disappear into snowy skies, or drifts of snow and ice, like ghosts. Despite this, Cold Ones are only partially immaterial, so cannot pass through solid matter, though they can seep through the smallest of openings.

In the RPG...

Cold Ones are immune to all physical attacks, though fire can hurt them, and presumably magic (though it's not stated in the Malleus Monstrorum). Being ghostly, they have no STR or CON, though their other stats are roughly human-ranged, except for DEX, which is well above. Their most unique trait is that they attack by moving near or around a victim which causes freezing damage, like frostbite. A victim can lose up to 10 CON and 2 hit-points with a successful attack, and after about every 4th hit, will also lose 5 APP and 5 STR. All of these can be recovered with the necessary medical care, however. The only changes made to Cold Ones in the 7e Malleus Monstrorum are that both their attack and dodge have a 10% better chance of success. 

In a video game...

Including these tortured souls in a game could work, though I'm not sure how the healing of the frostbite would work, unless covered in a cutscene, as it's said to take one week per point of restoration, which is too long for a game. The other catch is that they are severely limited in habitat, though could perhaps be combined with Trolls.

In a film...

As they are essentially just ghosts, I don't think the Cold Ones would bring anything new to a film that hasn't already been done before.