In the new Shadow Isles short story,
Ledros and Hecarim keep coming back every time they 'die' on the Isles. Ledros has come back even when he died somewhere else, like when Ryze, Leona and Illaoi killed him. From this we can infer that any sufficiently powerful Shadow Isles spirit can respawn as long as the Mist remains.
Now what's Lucian trying to do? That's right, kill these guys. Now you could argue he might be able to stop Thresh specifically from coming back if that bit in his death animation where the Lantern traps his soul is canon, but that still leaves everybody else. And there's a _lot_ of everybody else.
If Lucian doesn't stop the Mist at its source, he won't be able to stop most of the people who (un)live there.