In the Japanese version of the game, they are referred to as "Oni" which would basically classify them as demons. Still, doesn't answer where they came from and what the deal with the horn is.

This is storytelling 101, Sega. If you're going to introduce a new character (s), and they have a weakness to some mystical conch shell, you need to explain why. Also, how Eggman got his hands on it.