The headless mule is a legend of Brazilian folklore. Its origin is unknown, but quite evident throughout Brazil.

The mule is literally a headless mule, which breathe fire by the neck, where his head should be. Has in his hooves, horseshoes that are silver or steel and feature brown or black.

According to legend, any woman who was dating a priest would be transformed into a monster. Thus, women should see priests as a sort of "holy" and not as a man, if they committed any sin with the thought of a priest, eventually turning into headless mule.
According to legend, the spell can only be broken if anyone takes away the iron brake the headless mule loads, so you will see a repentant woman for their "sins."