I would assume they're magical constructs of some sort, considering "soulless" is a very strange name to call something that is essentially only a soul in the first place.

[Considering how unusual the whole concept seems, there must be someone who's looked into the whole situation. Though considering how things seem to be run here, it might be difficult to find that person and find out what they know.]

I'd be quite interested to know more about the process that goes into making them.