Well, according to the Dex entry for Banette, it sticks pins into itself to generate energy to lay down curses. It's also possessed by hatred for the child who disowned it and constantly seeks that child out...You can blame Gamefreak for that one
On Pokédex lore, if that's anything to go by, Banette is a child's neglected doll that has been possessed. Even possessed items by poltergeists don't suddenly become transparent. I see where you're coming from, but Banette is more of a physical thing rather than an ethereal ghost type, such as Gengar.