Could've Been King

The Could've Been King led the Army of Meanwhiles and Neverweres during the Last Great Time War. The Doctor described this as one of the potential horrors that would be released when the Master broke the time-lock on the war, along with the Nightmare Child and the Horde of Travesties. (DW: The End of Time)

Beyond this mention, there is no further description of the Army of Meanwhiles and Neverweres or the Could've Been King.

It is unknown what sort of entity the King was but it is possible he was a Time Lord, due to taking part in the Last Great Time War.

EDIT:

This was not a seperate entity. In "The End of Time" the Doctor refers to "The Nightmare Child who could've been king with his Army of Meanwhiles and Neverweres"