Grim Captain's Call doesn't target the cards to return. You choose them while it's resolving. No players may take actions between the time you make each choice and the time you return each card to your hand.

If a card in your graveyard has more than one of these types (such as a Dinosaur that's a Vampire Dinosaur due to Arcane Adaptation's effect), you may choose to return it for one of its types and return another card of the other type.

If you don't have a card in your graveyard of one of the listed creature types, you just continue to the next listed type.

If an effect refers to a "[subtype] spell" or "[subtype] card," it refers only to a spell or card that has that subtype. For example, March of the Drowned is a card that benefits Pirates and features Pirates in its illustration, but it isn't a Pirate card.