From Transformers Fanon Wiki

Mystery is possibly a Transformer. Maybe an Autobot. More likely a Decepticon.

He's hiding somewhere in your blind spot, waiting for the moment when he can strike.

We have no clue what he transforms into, because, hey, he's a Mystery.

He came from no-where, and he's going no-where. We also don't quite know where he is, either.

So whatever.