The phantom is a metaphore
A metaphore of things to come. The Phantom Menace is thought to be Sidious, however I think it may also be Anakin. A Phantom is an unseen, a ghost, an entity moving a play from behind the scenes. A Menace by definition is a potential threat of the status quo, whichever that might be. Anakin is a phantom menace, he is at that stage just a kid, but there`s dorment potential in him for mass destruction an evil. His dark side, his dark potential, rather, is what makes him a phantom menace, a dorment tool of chaos and destruction. A future tool of the dark side.
