The Headless Horseman of Connecticut: The French Paymaster

The Headless Horseman does exist, only he's not from New York, he can be found in Canton, CT riding his horse down Route 44, which branches off into Router 202 at one point. He was a French solider on his way to Saratoga to bring pay for the Revolution Wary soldiers who met an unfortunate end on his way there. Now he's left trying to complete his mission.

https://www.damnedct.com/the-headless-horseman-of-canton/

https://www.kirkusreviews.com/book-reviews/kara-labella/the-french-paymaster/

D'Agostino, Thomas and Arlene Nicholson. "The Headless Horseman of Canton." Connecticut Ghost Stories and Legends. (Charleston, SC: Haunted America, a Division of the History Press, 2011, 2013.) pgs. 39-42.