There are literally hundreds of incidents reported in the lives of many, many saints reporting poor souls coming back to beg prayers. Padre Pio has been mentioned, as has St. Margaret Mary. Many of the incidents in Fr. Schouppe’s book come from The Life of St. Malachy the Irishman, by St. Bernard. St. Malachy was frequently visited by those who wanted prayers, which is why he begged (and was given the grace) of dying late in the night of All Saints day, that he might benefit from the observances on the next day. That being said, anybody who experiences supernatural phenomena ought to contact their priest. One needs a solid spiritual director to help sort all of this out.
As a sort of sidenote, while studying in Ireland I found a book (which I still kick myself for not buying) called either “A Catechism of Faeries” or “A Fairy Catechism,” which was published late in the 19th century by an Irish priest. It was the opinion of many Irish theologians that the fay folk were associated with either the nephilim of genesis or those angels who Dante places with the lukewarm; those who fought for neither God nor Satan. If anyone knows of or can find the book that I’m talking about please let me know as I’d love to have a copy.