Loki has been talking to Shirahoshi
>'Mosa' can mean 'Hairy', and Roger called Shirahoshi hairy during his visit to Fishman Island
>The "incident" that Mosa talks about was her almost getting kidnapped in broad daylight by Charloss during the Reverie
>the Den Den Mushi is specifically a snow variant, explaining the furry appearance, but the eyes still have long eyelashes