Major Tremor's story is a little complicated.
Short version is he comes from an alternate future where Twilight went insane and became a power-hungry tyrant.
He was given an experimental prosthetic horn to help him travel far enough back in time to prevent that future from happening. After carrying out his mission, Tremor's horn ran out of the fuel it requires to function, and since that fuel has yet to be invented, the horn is useless now. Not that he'd want to use it. It's incredibly dangerous and painful. but the horn is surgically attached, so it doesn't come off.