Yes, Horo really does mean something bad in Finnish. The term is a slang for slut, really, and is used as slang in insult.
At least so says the Finnish people I saw online.
It makes you wonder what other terms are out there which makes jibberish sense in one language but totally BAD in another. Maybe CLAMP and Ichiro Sakaki had the right idea and named their characters after known variables with corporate marketing that has done their homework…sometimes. And I say sometimes, hopefully as you know, with the allusion to the Chevy Nova. It does make a nice name for a fiery villain I guess.
Google, by the way, suggested an alternative. If you read about this unknown Balkan band they come up with an alternative etymology.