Nagilum expresses some surprise that the Enterprise-D members are shocked to see him in a “humanoid” form (“Where Silence Has Lease”). After all, it’s gone to such trouble to look like them!
Is there anything anywhere which mentions Nagilum’s “true” form?
We don't know. It's described as an...
"....extra-dimensional lifeform"
...by the Star Trek Encyclopedia (3rd Edition) and
"A powerful being, extra-dimensional in nature and manifested in space by a large hole of complete blackness"
by the StarTrek.com website.
That's pretty much all we've got to go on. That being said, (and given that it has no understanding of the concept of a "limited existence" until it encounters the Enterprise) I think we can be reasonably sure that it doesn't have any sort of three-dimensional physical form, at least not one that we would understand.
