Thriller 2 (Dec 83) proclaims itself an origin issue, though by the end of the Fleming and Von Eeden story I didn't feel I had much more insight into the titular character or the series.
Salvo, the marksman of the group, is the brother of Thriller, the ghostly boss, and we find out about the fire in which his sister died.
This is partly shown as a flashback, but characters from the present are also experiencing it. I think. Angie (which was Thriller's real name) dies, but also becomes a spirit, and is able to talk with her brother. But Thriller is also sort of Angie's former husband, who is able to merge with the spirit and become it. Though when he is not Thriller, he is in human form. I am not certain what becomes of Angie when the husband is Thriller.