Once, when the western artist Charlie Russell did an oil painting of Indians, he painted a Blackfoot Indian. One of his friends mentioned that the Blackfoot was wearing a vest with Cheyenne designs on it.
Russell’s reply was...”Son of a gun must have a Cheyenne wife!”
That must be it. Actually, I Googled Comanche headdresses a bit ago (which I should have done before first posting, but I was being lazy), and they did wear the full eagle-feather war bonnets. Now I know.