As far as we know, the pyramids directly serve the Darkness/Winnower. The only pyramid we've ever been in was completely vacant, but that doesn't mean the rest of the Black Fleet is the same. Judging from the teasers for Witch Queen, there are entities of some kind within the pyramids that we will soon face (specifically in the upcoming raid). The pyramids themselves are not a creature though. It's heavily implied, or was outright stated somewhere, that they act similarly to our ghosts, but to what degree is unknown. From the little we do know though, even a single one of them is a massive threat, and the Black Fleet has a massive yet unknown number of them.