The name usind in Brazil is Mula-sem-cabeça.
As the story goes, a woman of ill repute and a Catholic priest had relations, so God punished them. The following Thursday, the priest and the prostitute met up as usual. When the sun set, she turned into a purple mule with flames where her head was supposed to be.
Of course, this scared the priest into chastity for the remainder of his days. Friday, when the sun rose that morning, she returned to her human form. Every Thursday at sun down, she turned back into this cursed beast and, every Friday at sunrise, she became normal.
Sometimes, you can see a floating bridal on the Headless Mule. Some say removing the bridal breaks the curse and she will be forced to marry the man that saved her. Others say that you must stab the mule for the same result.
When the curse is lifted, she will be naked, sweaty, and smell of sulfer. When her husband dies, she must replace the bridal. Her punishment for being a lady of the night and seducing a priest is eternal.
It is believed that you will be trampled to death if you cross paths with this spirit. The only way to avoid that is to this death, besides breaking the curse, is to lay on the ground, hiding anything shiny. You might go unnoticed because she has poor eyesite.
Besides, who really wants an ancient whore for a wife, right?