No other Pokemon has the same type combination as Parafox and its evolution.
Parafox and its evolution are the only Normal type Pokemon that are immune to Normal & Fighting type attacks, as well the only Ghost type Pokemon immune to Ghost type attacks, as well the only dual typed Pokemon immune to both of its own type comninations.
The grave near which Parafox is found has text on it. It says "Big journeys begin with small steps".
Parafox is based on a fox. Foxes in Japanese Folklore are always somewhat connected to spirits and the spirit world, hence Parafox's typing.
Parafox's name comes from the words Paranormal and Fox. It's name is also most likely a Play on "Paradox".