Adding to title: Lookup relationships to CaseComment can not be created; there is no CaseComment entry in the picklist of related objects when defining a custom lookup field.
It is an SObject, and you can query it normally, but it's a special type of standard (built-in) object that has a number of unique attributes.
- Can't have custom fields added.
- Don't support workflow rules.
- Don't support validation rules.
- Cannot be part of a custom lookup or master-detail relationship.
- Case comments don't count against your org's storage use.
- Private case comments don't participate in standard sharing, and can have more restrictive visibility than the parent case (not possible in custom master-detail relationships).
CaseComment is a standard Salesforce object. It is documented here: https://www.salesforce.com/us/developer/docs/object_reference/Content/sforce_api_objects_casecomment.htm
Not all Salesforce standard objects are available for customization or as targets of custom relationships there are a number of "minor" objects for which that is the case.