Dry Bones is the skeleton of a Koopa Troopa. Dry Bones first appeared in Super Mario Bros 3, before Yoshi made his appearance in the Mario universe. It also has a shell, further proving it is a Koopa Troopa.
It's pretty much been confirmed to be a Koopa, if you play Paper Mario: TTYD, the Koopa partner (can't remember his name. XD) sees a Dry Bones laying on the ground and thinks it might be his dad.