The term "banshee" is often used in Irish folklore to describe a supernatural being, often a female spirit, who wails and cries to foretell death.
It is possible you might be thinking of the Dementor, which is a creature found in the Harry Potter series. These dark, cloaked figures suck the happiness and hope out of living beings, often leaving them feeling like they are living in their own personal "death" until they are fully consumed.
While they don't wail like a banshee, they are associated with death and despair, making them a similar entity in some respects.