I wouldn't be sure, but perhaps hollowed-out animal horns were used as containers to store things like eyeshadow and cosmetics. It seems the most likely explanation to me.
I generally try to have a very open mind regarding names (especially foreign ones), but I'm sorry, this one is just plain - well, I might almost say weird. I have no particular fondness for the way it sounds, and I'm afraid that even I don't understand what "horn of eyeshadow" is supposed to signify.
I'm sorry, but this name is just an oddity to me. Anyone who seriously uses this as a first name, is off their perch on something, in my opinion, to name a poor child this abomination. I apologise in advance if anyone is called this and is offended. :)
"Early Puritan families often had daughters named Jemima, Keziah, and Karen-happuch, after Job's three daughters mentioned in Job 42:14. Jemima and Keziah remained popular, although Karen-happuch never really caught on."