The answer is because the best way to describe him is in fact 'skeleton-ghost', as bitty Frisk apparently puts it. From the mouths of babes.

The sentiment Kuja expresses, though, pulls a short burst of actual laughter from him- what passes for it, anyway, given that the noise he emits is more akin to a high and sharp crackling of static.

"Well. That is a most practical attitude to take. Never fear. I have memorized a few of the places on the way here, if it comes to that."

He's following! No need to worry about leaving him behind.