Two-Headed Goat

The Two-Headed Goat is part of an alien species and a new character appearing in season 6. It's still unknown whether it's going to be a recurring character or not.

Trivia
Polycephaly is an actual condition on humans, but it's more commonly noted on other animals. Multi-headed animals are often depicted in mythology as supernatural and mystical. This is possibly why most people don't believe in their existence.