Personally I never thought about Harmonica as a ghost. The whole idea of ghosts belongs, imo, to the world of horror movies (or religious movies if you wish), and Once upon doesn’t feel like a horror movie. Some events like the slaughter of the McBain family or the hanging of the brother might be horrible, but that’s not the same thing. Django the Bastard does, that is a horror movie, and that’s why I can accept that particular Django to be a ghost.
I only realized Harmonica could be interpreted as a ghost when I read about it (I don’t remember when or where exactly, but I had seen the movie at least half a dozen times). I also read that some think that Leone played with the idea to turn him into a ghost, but finally rejected it. For me he’s not a ghost, but - very much like Colonel Mortimer - a man who is so obsessed by revenge, who’s mind is so preoccupied with death, that he no longer acts like a normal human being.