A small study on the difference between how Lucy Gray Baird and Sejanus Plinth haunt the narrative
contains spoilers from Sunrise On The Reaping!
Little disclaimer: this is my personal interpretation of the books and the characters! You're free to disagree with me, but please be nice about it :)
While less talked about, Sejanus haunts just as much as Lucy Gray does. But while Lucy Gray haunts the narrative, Sejanus haunts Snow. Let me elaborate on that.
Coriolanus, through the books, always seems to be followed by Lucy Gray's ghost[metaphorically or not, I'm not implying she's officially dead]: Haymich's girlfriend being a covey, Katniss and the mockinjay, The Hanging Tree song. I don't think he ever forgotten about her, probably tries to, but she's always there to taunt him.
Snow despises Lucy Gray because he doesn't have any control on her. She's a "free spirit", he thinks he has control over the narration of her Games and life yet snaps any time he's reminded that, in fact, he doesn't (ex. when he sees Lenore Dove). Snow wants to keep Lucy Gray a secret, he doesn't want anyone to know about her, to know what happened to her. He's scared people will find out what happened in the woods.
And if you think about it, Snow's issues with Lucy Gray have always been about that, began with that idea: "no one has to find out about this, and I'll make sure every obstacle is gone, dead or forgotten".
Her references in Sunrise On The Reaping are explicit, because Lucy Gray haunts the narrative. Lucy Gray "flies" over the story and influences everyone in it with her disappearance (the many songs that are mentioned, the way Snow talks about her to Haymitch, Haymitch being shown the interview etc.).
Sejanus doesn't haunt the narrative, Sejanus haunts Coriolanus Snow.
Sejanus' "haunting" happens to a more personal level than Lucy Gray's does. Sejanus' death doesn't affect the narrative (to an extent), it affects Coriolanus personally. Coriolanus isn't scared of anyone finding out about Sejanus and his death, everyone knows about him and the way he died, but no one is affected by it the way Snow is.
Lucy Gray haunts Coriolanus and the narrative in a "You can't escape me and what you did. You'll be haunted by me and what you did to me forever". Sejanus haunts Snow in a "You can't forget me. I'm everywhere, but only for you to see me. You don't feel guilty for what happened to me, but I'll always follow you."
The proof of this is that while (as I previously said) Lucy Gray's references in Sunrise On The Reaping are always explicit because the reader has to get them, the same way Haymich does (even while not knowing Lucy Gray at all), Sejanus' references are subtle. They're "quiet", you don't catch them unless you pay close attention. And that's because they're only for Snow to get. They're not actual references, they're things (anything) that only Coriolanus will forever associate to Sejanus. I already made a post about those references, so here's a quick recap:
1. Drusilla being related to Prof Sickle, whose pupil was Sejanus; 2. The peacekeepers discussing the gym used as training center, gym payed by Strabo to ensure Sejanus' graduation; 3. Haymitch letting a rabbit guiding him through the Arena, and Dr. Gaul comparing Sejanus to a rabbit when they escaped from the Arena with Coryo; 4. One of the D2 tributes being named Janus; 5. Lenore Dove loving gumdrops, and Snow poisoning her with them. Gumdrops, the same thing Coriolanus associates Sejanus with since it's what he was holding the first time they met; 6. Haymitch imagining of a peackeeper in 12, hung for helping the rebels.
All of these references are subtle, some might even say "a stretch". Yeah they're subtle, yet so many of them are somewhat "important" to the plot. But you wouldn't associate them with Sejanus, would you? No. Not unless you're Coriolanus.
Don't get me wrong: Snow doesn't feel guily about Sejanus. But while Lucy Gray haunts him in a more "terrifying" way, Sejanus haunts him in a natural way. Snow doesn't care about it, Sejanus' memory isn't a threat to him like Lucy Gray's is.
And so, once again: Lucy Gray may haunt Snow and his narrative. But Sejanus haunts Coriolanus Snow personally.