A rat with a snail shell.

We all know that it is a fake but we still have to wonder if such beasts did exist at one point.

Easy to hoax something like this. P.T. Barnum had a famous "mermaid" corpse, which was just a monkey skeleton attached to a preserved back half of a fish. Looked good enough until it was examined by someone who knew the anatomy of these animals.

This would be much easier to do. Take a dead horse fetus and attach a fake horn to its head. Carve one out of bone or ivory and glue it on, maybe make one out of a spiral shell, etc. Very easy to do and would be hard to detect with just a simple visual examination (much less on a very lo resoultion YouTube video). Let an anatomist, or any doctor really, have a look at that horn and where it joins the skull up close, I bet they'd easily be able to debunk it in seconds.

Another thing, a fetus would never have such a sharp, well formed horn on it. It would be a danger to the mother in the womb (actually, it would probably kill her). Animals that naturally do have horns aren't born with them, just little nubs where they will later grow. For obvious reasons, evolution doesn't let animals evolve who grow their horns in-utero.