In "Darkness Calls", Baba Yaga and Koku are sitting at the tree with the skull lamps watching Hellboy fight Koschei and with them is a skeleton wearing a black robe and hat, that looks similar to the robes of an orthodox priest. Is he also some figure from Russian folklore?
The Wikipedia summary claims that this is indeed supposed to be a manifestation of Death.
The Baba Yaga, Koku, and a figure that seems to be Death watch from their place at the tree's roots.
A little further in Chapter 5 than the image you've shown, he gets a line, "I told you. You should have given me that girl to me all those years ago. But no, you rewarded her. You let her go. See what it costs you now..."
He gets more lines in Chapter 6, explaining to Baba Yaga that she has no more reserves to pour into Koschei, that "all of the lights in her house are dark", then:
Defeated, Koschei hurls his sword at and into a departing Hellboy's back, so that he drops Vasilisa's blue handkerchief which becomes a flood to carry Koshchei's body away. Death explains to the Baba Yaga that "Hellboy is as deathless as Koschei" and his eye must be given freely, for which Hellboy is not yet ready.