The Shadowlands are essentially another reality, not really an entirely spiritual world that is 100% ephemeral and without substance. The Shadowlands have physicality, substance, and essential physics (albeit somewhat different than the reality of life). When you die your substance is basically translated into anima, which in the Shadowlands can have physicality as long as you have enough of it. If you lose your anima you start to "devolve" into a less substantial being, until you eventually discorporate entirely and are unable to even hold your sense of self together.
When Draka arrived in Maldraxxus she had sufficient anima to be herself, in a projection or simulacrum of her original form. Not everyone in Maldraxxus has the same benefits - which is why they can receive construct bodies or be further augmented by their Barons or Margraves. Generally speaking the more powerful and/or willful you were in life, the greater the chance that you'll still be you and have a physical form based on your self-image in the Shadowlands.