The cosmological distance ladder crucially depends on classical Cepheids (with P=3-80 days), which are primary distance indicators up to 33 Mpc. Within this volume, very few SNe Ia have been calibrated through classical Cepheids, with uncertainty related to the non-linearity and the metallicity dependence of their period-luminosity (PL) relation. Although a general consensus on these effects is still not achieved, classical Cepheids remain the most used primary distance indicators. A possible extension of these standard candles to further distances would be important. In this context, a very promising new tool is represented by the ultra-long period (ULP) Cepheids (P geq 80 days), recently identified in star-forming galaxies. Only a small number of ULP Cepheids have been discovered so far. Here we present and analyse the properties of an updated sample of 37 ULP Cepheids observed in galaxies within a very large metallicity range of 12+log(O/H) from ~7.2 to 9.2 dex. We find that their location in the colour(V-I)-magnitude diagram as well as their Wesenheit (V-I) index-period (WP) relation suggests that they are the counterparts at high luminosity of the shorter-period (P leq 80 days) classical Cepheids. However, a complete pulsation and evolutionary theoretical scenario is needed to properly interpret the true nature of these objects. We do not confirm the flattening in the studied WP relation suggested by Bird et al. (2009). Using the whole sample, we find that ULP Cepheids lie around a relation similar to that of the LMC, although with a large spread (~0.4 mag).