In the Winter Soldier's story, there's no explicit mention of ghost stories in quotes. But think about it this way. His past is a sort of phantom that he has to grapple with. The things he did while under mind control are like the deeds of a ghost - not really him, but actions that are attached to him. When he begins to break free from Hydra's hold, it's like he's trying to exorcise these ghostly memories. His journey is about confronting this shadowy past that has haunted him, much like a character in a ghost story would face the ghosts of their own making.
The Winter Soldier's story is full of mystery and a sense of something lurking in the shadows, much like a ghost story. His suppressed memories are like ghosts waiting to be discovered. There are no quotes that say 'this is a ghost story' but lines like when he starts to question his own actions under Hydra's control can be seen as him facing the 'ghosts' of his past. His struggle to come to terms with who he was and what he did is a key part of this 'ghostly' aspect of his story.