Captain Bathis:
I agree, my lord, but I spoke to several merchants who survived the attack. Their testimony all agreed: it was a headless knight. Perhaps the spirits of restless noblemen who perished in the war with Gracia now haunt that area.
You must confirm this phenomenon for yourself. I learned that the headless knight appeared after the Skulls appeared in the Relics. They must be connected!
If you go and slay the Skulls, perhaps the knight will appear...