This page offers a guide on where to locate and how to complete The Banshee, which is a Mystery found in Essexe.
Find the Source of the Crying
This mystery is located in some ruins between Maeldun and Wulfaswic. Speak to the man and you’ll discover that he is being haunted by the wails of his lover. The cries that you can hear are actually caused by wind rattling some wooden planks on the wall behind him. You’ll need to shoot them to stop the “crying”. Upon doing so, the man will become hostile and attack you. You’ll need to defeat him to finish the quest.