I think it's almost confirmed than Grim Reaper & Sunny are the King and Queen (like 95%)
For example, Lee Dong Wook's character is named Wang Yeo. If you study Korean history, back in the Goryeo times the Kings and Princes have the surname Wang ( a more recent citation in pop culture are dramas Shine or Go Crazy and Moon Lovers). Also you'd see Deokhwa doesn't call the grim reaper Wang Yeo (the name listed as Lee Dongwook's character) but 저승사자 which means yeah, grim reaper lol. So I'm almost sure he was the King.
Sunny is surely the Queen as well as she's listed as Kim Sun (seeing Goblin is Kim Shin which means they're siblings). Back in those times, it's normal that higher ranked nobleman (military or scholar) married their offspring to members of the royal family. For a King, especially with this drama's king who was young, it was very strategic to marry a family member of the general of the military (highest ranked military officer) as this puts the military in check. It is not uncommon in those times for a coup to happen and many rebellions back then are led my military generals so the marriage of military and royalty, in a way, 'secures' the power of the King and protects him against the possibility of this happening.
What's heartbreaking for me was these scenes: remember when the Goblin rose to life to seek revenge on the King, but saw he was already dead? I have a bad feeling the King's 'advisers' (those who planted the idea that Kim Shin was a traitor) had a hand on the King's death. Also, there was a scene where the Goblin sees the paintings of the Queen. This sounds tragic but my hunch is the young King and Queen legit loved each other. Which is why the Queen's death was so painful for the King (typical kingdom vs love conflict) that he ended up doing all those paintings of her. This might also be the reason why the Goblin said he was 'regretful' when he saw the artworks.