A Malfean is a depreciated first-edition term for one of the defeated Primordials, who were killed and now slumber in the depths of the Underworld. The more commonly-accepted (and less confusing) term is Neverborn.
The defeated Primordials are in two general groups: those who were killed and thus slumber in the Underworld, and those who were captured and held in the prison-realm of Malfeas. The dead Primordials are sometimes called Malfeans, while the residents of Malfeas are called Yozis.
Obviously, this can be confusing. As of, the term Malfean appears to be depreciated in favor of Neverborn; the term does not appear to have made any appearances in any official second-edition materials.
For those who choose to view a connection between the Age of Sorrows and the World of Darkness, Malfeans correspond to the Malfeans of Wraith: The Oblivion. Indeed, given the confusion it engenders otherwise, it is likely that the term was originally applied to the Neverborn solely to support this connection, and was discarded when the official link between the two was abolished in the switch to second edition.