The Witches pursue The Stranger as they believe he’s their master, Sauron. Their sole mission is to help their master regain a sense of who he truly is and guide him in the right direction. As a result, the Witches ask The Stranger to travel to Rhûn, where Sauron eventually rallies the Easterlings, according to canon. However, they are clearly mistaken in their assumption that The Stranger is Sauron — he is Ishtar, which translates to “magician.” He is none other than the Gandalf we know and love.
When Gandalf uses his powers to defeat the three witches, the trio dissipates, revealing ethereal skeletal forms underneath. The beings turn into ghostly moths and scatter into the air, which can be interpreted as them dying. However, Payne’s comment about the “Unseen World” adds layers to the scene: just like Frodo was able to see the Ringwraiths’ true forms after he put on the One Ring, we are given a glimpse of the Witches’ true forms when they dissipate. Are they beings that look similar to Ringwraiths? Is this a foreshadowing for the creation of Sauron’s Black Riders or Nazgûl? It is too early to speculate at this point.
In the same interview linked above, McKay talks about taking inspiration from the “visual language” of Peter Jackson’s “The Lord of the Rings,” which leads to an exploration into the idea of “different forms of magic.” He also heavily suggests that the true form of the Witches are “hideous,” but the raw power of Gandalf’s light makes them seem beautiful. Although they’re bested by the powerful wizard in this instance, they might return again, in a different form, sometime in the future. All we have to do is wait and see.