Captain Winky is Oralius' imaginary friend. Before Cataclysm most people believed he was just a myth. As of the Cataclysm, some people believe that Oralius was right when he said he was the only one sane at the camp.
No one is sure of what Winky is. The only thing that is known is that he is a pirate and that his title is <Nemesis of Oralius>.
Winkey may be the same character seen through the eyes of a crazed dwarf.