I think the song "Between the trees" makes a reference to the ghost ep when he says "Radio can you hear my swan song?". But first he says "I can stand here blankly, I can hold my breath, I can even not exist at all" Which basically describes him as being a ghost.
Though I think he's singing from the perspective of different characters in every song, in "The failure of all things" he's singing from the perspective of the person searching for this ghost.
Anyways, my newer theory is they probably hid the ep in graveyards around the world. I think perhaps there might be clues within the earth tour book and movie, that if combined will point to it, but I haven't had a chance to look into this yet.