I now that we can’t know for sure what They are, but some theories are easier to explain than others.
The most common premise -Aliens- covers things nicely. Very advanced tech may very well block the sun and our satellites somehow.
Entities made of shadowstuff can also explain stuff, because… magic! Same goes for demons.
But what about other theories? How would zombies be able to blotch away the sun? How would giant insects disrupt out cellphone and GPS networks?
Have you had to explain Their “nature” to your players? (or yourself?)
Some of the best ideas come from players loudly announcing their theories. :) For a different approach, think about what fear or horror trope you want your players to feel and focus on that, rather than any specific details about Them. Like the feeling of being hunted, body horror, not knowing who to trust, etc.