Yep, it's Banzok. According to the atwiki I've been using as references to Horizon stuff, it's about a Magical Girl character who originated from the Savage Continent. "She" supposedly likes to skin her rivals alive, and likes sacrifices.
Konishi is a fan of Mahou Shoujo Banzok.
I don't know if the dakimakuras he and Masanobu carry inside their carriage during their visit to Remorse Way in Season 1 is Banzok "herself".