Airy, Aerial and Ethereal can all mean as light and insubstantial as air.
Airy seldom suggests a transcendent quality; in its widest sense it implies little more than immateriality.
When applied to persons, their words, or their manners, it may imply an affectation of grandeur or putting on airs mere affectation of nonchalance.
When used of motion or movements, it suggests lightness and buoyancy.
Aerial in figurative use is found chiefly in poetry where it usually connotes impalpability, extraordinary delicacy, or elusiveness, and is applied to things rather than to persons.
Ethereal implies not the atmosphere surrounding the earth but the rarefied air once believed to fill the heavenly regions and so imputes a celestial or supramundane character to the person or thing it qualifies. Sometimes it suggests an unearthly translucency.
Sometimes, especially when referred to persons, their words, or their thoughts, it suggests disembodied spirit or apartness from material interests.