Let's say that it's scientifically proven that ghosts exist. Would they then stop being supernatural and become natural, thus making it impossible to ever have proof of the supernatural?
Supernatural means things that are beyond nature (I.e. don't obey our known understand of nature).
If ghosts are proven to exist in nature, then they become part of nature, thus are no longer supernatural.
We might not have a definitive explanation for gravity, but it is definitively within our understanding of nature - we can observe it, test it, and predict its effects far into the future.