1) This could be in really poor taste as Ray, the only openly nonbinary prisoner, is also the only one that believes they are a unicorn, to the point of wearing this ridiculous fake horn on their head. Feels a bit like a weird paralell is being made and it's uncomfortable.

2) This could also be kind of a nod to the lgbt, as some members like to refer to themselves as unicorn in slang. So I shrugged and waited for the story to unfold. I eventually get to bond with Ray and they honestly have a bit of a badass backstory to them.