"Do you ever wonder if it hurts? To have one's soul ripped out like that?"

The spectral illusion of Miraak spoke in his condescending tone as he stood behind you.

You killed another dragon, expecting that this time the soul would belong to you.

Silly you. You thought the soul was going to you. Until you heard his voice behind you.

Out of pent-up frustration you hit the spectral illusion, eliciting a snort from him.

Whilst in this form, he's invincible. And you knew it.