There are few if any episodes that connect the main mythology of the series (aliens and government conspiracy) with other supernatural elements. The few that could be considered to have a mix off the top of my head are listed below.
For the most part I would expect the earlier episodes to have a bit more of some cross over due to the fact that the mythology evolved over time.
You already mentioned this one in that it deals with the Mars ghost face and builds a story around how it haunts the characters. However there is no solid conclusion whether the ghost face is a ghost or simple an unknown alien entity.
Maybe a bit of a stretch, but the alien in this episode is able to cloak itself to be invisible which I suppose could lead to some believe it to be "ghost-like".
In this episode there is a strange cult like mystery surrounding a community of Amish who appear to be able to switch between male and female, victimizing people when they do so. At the end of the episode we learn that the Amish group were in fact aliens and they depart, leaving a crop circle from their UFO.
This is another example of an episode that starts out one way and adds an extra terrestrial twist. In this one, animals have been escaping and showing up invisible in the community. We later learn that the animals have been subjects of alien abductions and the invisibility is a side effect of the abduction and tests.
It was mentioned in a comment that this one shows aliens coming into contact with an entity that they themselves could not explain. This one is another stretch however for two reasons. First, the aliens were actual government agents perpetuating the alien conspiracy by pretending to be aliens, wearing disguises, and they run into actual aliens in the process of abducting a farmer and his wife. Second, the events of this episode are depicted as a narrative from a book and its questionable whether any of them are real or just a work of Jose Chung's imagination.
Both of these episodes connect the concept of walk-ins and abduction. The idea is that victims of abduction are ultimately spared awful fates by being able to pass over to the spirit realm before their deaths. This is the explanation for what happened to Mulder's sister Samantha. That said, I'm not sure there is a true direct link between this and aliens since the abductions in these cases were perpetuated by the shadow syndicate.
Conclusion
I don't think there is very much evidence in the main alien mythology of The X-Files to suggest that there is a tie between aliens and ghosts. But there are a few characteristics of alien abduction which are eerily similar to what one might expect to experience when being haunted.
