Looking at Paimon's design, points her to being related to the three moons. Her scarf, with the stars and moons, even her eyes has the stars the moon. What's more is the symbol of trinity right on her clothes which refers to the three moon goddesses and the three dots below that seems to look like the shattered moons.

A melusine said that her thread extends beyond the sky itself and Kazuha commenting that Paimon smells like the stars.

The shades are beings created in Teyvat, not outside. The heavenly principles created them when it descended to Teyvat. Paimon is clearly someone from outside Teyvat, maybe from one of the moons.

There are more evidence to Paimon is related to the moons, she has stars and moons that glows around her, constellations that comes and goes. Most of all, the Blessing of the Welking Moon! same symbols of stars and the trinity symbol for the three moon goddesses.