If there was lore attaching a lost lover for Pumpkin headed Horseman, then it goes to support the Headless Horseman is the same. Why else would we have to activate him with a lost locket? In any event, I am curious to the actual lore if there is any. But I'm guessing that RoK was just too big an expansion to put storylines in everything and they added a fun contested mob based on RL Lore and followed it up as an idea for the NOTD event. Prob nothing more than that.