The suspicions held by many fans have today been confirmed, as BioWare have released a companion profile for Cole, the elusive assassin first featured in Dragon Age: Asunder.
Cole is a spirit, "caught between the immaterial realm of the Fade and the confusing realities of our physical world." This will apparently make Cole just as ambiguous as he was in the book, yet he will apparently provide a source of unwavering companionship to the Inquisitor.