Part of the game's appeal is the mystery of the unknown, so it's important to not get to detailed in explaining what They are. However, I think you've nailed the major categories. I think you're painting with too broad of a brush though. "Aliens" can cover a wide range of themes. Little green men, John Carpenter's Thing, Xenomorphs, 40k's Dark Elder, Cthulhu Mythos creatures, higher dimensional beings, all of these could be considered alien, and would fit the role of Them, but their motivations and behavior would play out quite differently.