The Horse Wiener is an item referenced by Aramis and commented on by Laharl. It is an actual item within the game. It is found equipped on Aramis' special zombie and can be stolen along with the rest of its unique items. In Etna Mode, the Horse Wiener (and its associated items) can be found equipped on a Zombie on replays of Stage 3-3 (Etna Mode).
The Horse Wiener increases a character's ATK and HIT, making it a decent accessory for early warrior-types, only to be overshadowed by late-game gear.