Well... [There are Pokemon who arguably are nothing more than a head for a body, like Gastly or Exeggcute, but they might not count...otherwise, he's pretty sure there isn't one that doesn't have a head of some kind or especially running around carrying them under their arms...well, except maybe one.]

None come to mind that are simply lacking a head like the Dullahan you described, though it sounds like a story you might hear surrounding the myths behind a few ghost-type Pokemon. Take the Pokemon "Yamask" for example--while they do have heads of their own, they also carry around with them a mask made of stone that are modeled with the appearance of a face on them.