Then you've got those big, flying, Bed of Chaos-looking things from Dragonslayer Armour and encircling Prince Lothric's tower. From the Armour's soul:
The Dragonslayer Armour, controlled by the Pilgrim Butterfly, lost its master long ago, but still remembers their sporting hunts.
So they are called Pilgrim Butterflies. Now, the only other instance of something being called a pilgrim in-game, are all the rock-rucking hollows from Londor that are lying dead in droves around the gate to Lothric castle and the edge of the Undead Settlement, our buddy Yoel being one of them. When we first encounter Yoel, he says "Please, grant me death, Undo my shackles.... Somehow, I've failed to die as was ordained. Well, perhaps my calling lies elsewhere." So the pilgrims came to Lothric with the intention of dying. And knowing they are hollows, which have a track record of never truly dying while the Flame is fading, perhaps they didn't truly die, but somehow ascended to become the Pilgrim Butterflies? It's a bit of a stretch, but it's probably the best we are working with.
You might be inclined to call them the Angels that spoke to Gertrude, the Queen's daughter and handmaiden. But when you look in the cage where Divine Pillars of Light is obtained, the corpse (probably Gertrude) is surrounded by white feathers. In Prince Lothric's boss room, the floor by his bed is also coated in white feathers. DPoL reads:
Miracle of Gertrude, the Heavenly Daughter.
Brings down multiple pillars of light in vicinity.
The Queen's holy maiden Gertrude was visited by an angel, who revealed this tale to her.
Despite losing both her sight and voice, she was determined to record the tale. Ordinary men cannot decipher her fragmentary scrawl, nor comprehend how it became the foundation of the Angelic faith of Lothric.
The miracle's image is blue - a rare coloration for miracles in the Souls games - and depicts white feathers. Now look at the Pilgrim Butterflies. Not a feather in sight.
Now, I've seen some theories floating around claiming that the "Angel" Gertrude encountered was a Primordial Serpent (let's shorthand as Frampt) due to all of the statues of a winged Frampt in the Archives. Here is my point of contention, drawn from the Winged Knight armor:
Armor of the Winged Knights, who swore themselves to the Angels.
Worship of the divine messengers was viewed as heresy in Lothric and unrecognized by any of the Three Pillars of rule.
This is believed to be why Gertrude, the Heavenly Daughter, was imprisoned in the lofty cell of the Grand Archives.