If the two sisters dress up like this on Nightmare Night, most ponies would’ve scared their guts off.

Whoa this is so cool 💙

Paraphrasing, but the gist of Hei Bai Wuchang is:
 
This pair of gods are direct servants of King Yama, the ruler of Diyu, or the Chinese Underworld. They are basically akin to the Western Reaper as well as wardens of the underworld, in which they guide the recently departed to the afterlife as well as punish particularly bad people. In other stories they have intervened in mortal affairs. The White one is Xie Bi’an, and the Black one is Fàn Wújiù.
 
Their origin story was that they were friends in the same profession hunting criminals. One day, their quarry got loose into a thick forest. They agreed to meet up at a prominent bridge after some time, regardless of if they caught the perpetrator or not. However, Xie would wind up drawn into a river by a flood (?) and happened to have his body rest at the bridge they agreed to meet up at. Fàn, seeing his friend’s body floating under the bridge, hung himself in despair. Upon both of their deaths, Yama praised them for their loyalty to one another and promoted them to Hell Guards, and gave them their jobs as they have to this day.
 
As to the strange appearance, their deaths influenced how they look (or are depicted); Xie, since he drowned, has a long tongue, to evoke his last mortal moments struggling for air. Fan, as he had hanged himself, had his face darken from asphyxiation.