Ghosts of Sigil?

That is an interesting article if you want to go that route; personally, I've always figured that if there's at least one keyless portal anywhere in Sigil to any Outer Plane then a person's spirit can pass through that to get where they need to go, but that article's a pretty interesting take too.  But as for strict canon, as far as I know there can be no ghosts in Sigil, or any of the Outer Planes for that matter, in either 2e or 3.x.  Being partially on the ethereal is a key part of their existence, and a ghost being somewhere that the ethereal doesn't reach would be like you being somewhere with half of your body missing.  They just couldn't survive.

Of course, that just means that if/when your players encounter a ghost, you should really play up the "What?  How can this be, that's impossible!" aspect.  Maybe even go so far as to make it a plot hook.  Figure out how the ghost can exist in such a situation, and if there's any sage types in your party, lay clues to let them unravel the mystery in addition to whatever other plot you're involving the ghost with, and possibly have that mystery lead into some new plotline.

I know that Torment isn't exactly canon, but TNO's (more or less ex-) girlfriend is a ghost...  

 Since ghosts all around the Material worlds are often kept from entering their peaceful afterlives, despite the many connections of their world and the outer planes, I'd say the same can be said for Sigil. The Lady's mazes are in the ethereal, too, and there is some sort of connection betweet the City of Doors and the Ethereal (After all you can get from Sigil to the Inner Planes which in 2ed normally is only possible on the Outer Planes > Astral Plane > Material Plane > Ethereal Plane > Inner Planes - route, if I remember correctly).