Only way you could really get away with a covenant race is to not treat it like a race.
Now hear me out, the creatures of the afterlife are well - don’t really belong in the living side of the veil (or whatever…blizzard really shouldnt have made shadowlands…) but this is one of the few situations we could theoretically capitalize on the stupidity of blizzard.
Okay we are the great super duper ultra mawwalker(s) who saved the afterlife and the living worlds too - good job pat on the head and shoved back to azeroth to play with dragons eh? Hold on a moment here we just happened to have a big ol device that rewrites reality so for my reward, maybe I want to have a body rewritten to look more like my newest bestest buddies evaaaah in the whatever covenant im currently hanging out with for their abilities…?
So in otherwords, not a new race - but a new body for a mawwalker.