Ziggy is a human Psion who looks like David Bowie from Labyrinth (tight pants and all).
The party hasn’t learned much about Ziggy’s time outside of the party, and that’s just the way he likes it. For whatever reason, he seems reluctant to tell the party much about himself.
What little the party has learned is that Zigmund’s parents were killed when Delita (then a man) encouraged an angry mob to do so. The exact circumstances of the killing are not known to the party and they don’t seem inclined to ask. Once meeting Delita (this time as a woman), Zigmund did all he could to defeat him and now feels his vengeance is complete, despite some of the puzzling comments that Delita made during the fight.
How he and Woodrus know each other or came to be traveling together before meeting the party is also not known.