The kid has an imagination. (It came mail-order.)
Henry's concept of Halloween as a two year old, is well, rather unformed. Explaining that he would dress up in a costume and go to people's houses to be given candy somehow turned into: if I a wear a firetruck hat, then I am a fireman. Ergo, I should have a firetruck and go fight fires on Halloween.
Maybe that's why he rejected his horse costume. Maybe he thought he would really turn into a horse, and that quite frankly did not appeal to him.
When people offered him candy, he asked for a firetruck. "Where's my firetruck daddy?
S took him trick o' treatin' while I manned the front door.
Here's the documentation.