Just Slayer things

The Zealot also has a Hat skin with nails in his head.

Slayers just want to end their life in a honorable death thus keep seeking impossible fights : challenging trolls, then giants and even daemons, as dragons if necessary. They're kind of the ultra violent crazy punks of warhammer, finally free from the heavy burden of the harsh rules of dwarven society but made crazy because of shame (just like samurais killing themselves because of shame) for being very proud cause they're dwarfs still.

As stated above : just like zealots or flagellants, slayers are crazy thus some may mutilate themselves to show off their radicality or to spend their spare time I guess ^^

Pretty sure this is just paying homage to Snorri nose bitter. A Slayer with a row of nails hammered into his skull who was made famous by the Gotrek and Felix novels. I think lore wise the nails are suppose to help him forget the gravity of his sins by scrambling his brains a bit, but not 100% on that.