“Here, friend, as I was coming down from Mount Vulture Peak, I saw a skeleton moving through the air. Vultures, crows, and hawks, following it in hot pursuit, were pecking at it between the ribs, stabbing it, and tearing it apart, while it uttered cries of pain. It occurred to me: It is wonderful, indeed! It is amazing, indeed! That there could be such a being, that there could be such a spirit, that there could be such a form of individual existence!
Then the Blessed One addressed the bhikkhus thus: Bhikkhus there are disciples who dwell having become vision, having become knowledge, in that a disciple can know, see, and witness such a sight. In the past, bhikkhus, I too saw that being, but I did not speak about it. For if I had spoken about it, others would not have believed me, and if they had not believed me that would have led to their harm and suffering for a long time [by not following the Path].
That being, bhikkhus, used to be a cattle butcher in this same Rajagaha. Having been tormented in hell for many years, for many hundreds of years, for many thousands of years, for many hundreds of thousands of years as a result of that kamma, as a residual result of that same kamma he is experiencing such a form of individual existence.”
Samyutta Nikaya 19.1
In the above quote, the being is a "skeleton moving through the air." I suppose that could be interpreted in two ways:
1. The skeleton is some peta realm, suffering there.
2. The skeleton is the butcher "on his way" to the next realm, wherever that may be.
I think the Suttas seem to support the first option above as there are other stories of beings in the peta realms like that.
I suppose the old adage, "if it was that important, the scripture would mention it" might work here. If there was an intermediate realm, why didn't the Buddha talk about it more, i.e., at length and explain the process, what prayers if any could be used (like in Vajrayana) to assist the departed. But instead the Buddha is notably silent on any intermediate existence.