I came across this today from wikipedia: Krampus.
According to wikipedia:
Krampus is a mythical creature who accompanies Saint Nicholas in various regions of the world during the Christmas season.
Krampus acts in conjunction with Saint Nicholas; the latter gives gifts to good children, while the Krampus gives warnings and punishments to the bad children…
Traditionally, young men dress up as the Krampus in the first two weeks of December, particularly in the evening of December 5, and roam the streets frightening children and women with rusty chains and bells…
A rather cool seasonal monster!
While St. Nick doesn’t actually feature in Lost Heroes RPG, he could easily exist as a Dreamling or even minor God-like being with his home being an icy Island on the Sea of Dreams. The Krampus would be his Nightmare equivalent.