There is no indication in the books as to what might they actually be.
We only hear about them from Tyrion's POV and he is a cynical man. He considers them characters from a fairy tale, nothing more than that. Qyburn also mentions them mockingly while referring to the Night's Watch. And as Skooba has established, From Sansa's POV as well who is supposed to be naive.
They can be dismissed as in-universe mythical creatures based on the information we have so far.
Tyrion mentions a list of such creatures:
"How kind of her." Tyrion made a waddling bow, but at the cabin door,
he turned back. "What if we should find the queen and discover that
this talk of dragons was just some sailor's drunken fancy? This wide
world is full of such mad tales. Grumkins and snarks, ghosts and
ghouls, mermaids, rock goblins, winged horses, winged pigs … winged
ADWD - Tyrion III
It is rather unfair to compare the Others to them. Long Night did happen in-universe and there are many works dedicated to the whole affair. People however consider the Others to have passed into extinction and consider them like the mythical creatures now, while the Other mythical creatures never existed in the first place.
For known/attributed attributes/characteristics of Grumkins, see Skooba's answer on this very thread.