When you play as "Cole Train", you will eventually pass through a grocery store. Somewhere early on, you will find a small stand with a cut-out of Cole in his Thrashball outfit near where you will fight some Lambent after some stalks appears. During or after the fight, interact with the cut-out. You will be given a choice to wear a white hat either front or backwards. This hat will stay on Cole's head during the intermission sequences (not pre-rendered) until the scene where you take a zip-line down to the bridge.