Corn dog horse

More commonly known as unicorns. They're a group of introverted horses in a cult that wear rainbow colored corn dogs taped to their heads. The reason why we never see them is because their religion is against all human interaction and once they do contact humans their corn dogs are taken away and they're forced to live as normal horses. So basically a conspiracy theory about the existence of unicorns.

Corn dog horses might just be the best conspiracy theory of the century to be honest.