I think I remember hearing (in an Asian Studies elective course in college) that in Japanese, the word for "hair" is either the same or very similar to the word for "ghost." So in a way, it's kind of a pun.
(Actually, I just had my son peek in his Japanese/English dictionary, and the words for "ghost" and "hair" are pretty distinct. Still, it might have been "hair" and "spirit" or something similar - "hair" is "kami," which is one of the root words for "kamikaze," meaning "divine wind." Maybe "kami" also means "divine" or "supernatural," and that's where the "ghost" part comes in? I'm just guessing here - and going off of memories from college, which are some 20 years old by now.)