As we know Kaido currently occupy Wano Country.
Wano is clearly inspired by Feudal Japan. Its people, dialect, architecture, culture and general atmosphere heavily support this. In light of so many japanese themes I decided to look into specific japanese horned mythological creatures and I found one that kinda works.
I found this specific Japanese Oni called Shuten-doji.
The info is as follows:
-He was not born an Oni
-Human mother/dragon father
-Resented by everyone for being strongest
-Was a monk (ties in Mad Monk Urouge maybe?)
-Turned to alcohol for comfort
-Has horns (by the way)
So then he puts a mask on (devil fruit) to play pranks on the other Monks. Between that and being drunk he fled the monastery and lived out in the woods where he would steal all the food and alcohol from villages (Much like Kaido is stealing all Wano’s good food).
This attracted bandits who then pledged their loyalty and sub began his gang (Pirate Crew). Over time his gang of bandits all turned into Oni (much like everyone turning Zoan in his crew).
*Theory by Dayvfish