Do tiefling horns have skin?

[The Morgue Bats]

I think they don't have to be mutually exclusive by any means. What we understand about biology currently points to multiple facets of a living being's genetic makeup combining in incredibly complex ways, resulting in a hugely diverse expression of possibility. Tieflings with skin-covered horns might have adapted to a specific climate over centuries of adaptation. Depending on how you and the DM of your table want to reflect the idea, you could easily adapt the lore: maybe that particular trait is the mark of a bloodline whose ancestors settled down somewhere particularly cold. Maybe the physical expression of their horns reflects some other physical characteristic; big ol' true horns might be a sign of great physical strength, or coated horns are seen as a sign of quick intellect (I'd keep away from associating negative traits in this manner personally, it echoes a lot of Bad Things if it goes that route). Maybe it's tied to the dark aspects that bore the first tieflings into the world, depending on what type of fiend served as their progenitor - in which case tieflings with the same type of horn might all consider one another as some level of kin to one another. Maybe it's the opposite of that, closer to full-blown speciation - only tieflings with the same kind of horns can make more little tieflings to run around, but because of their commonality of experience and general ancestry, they all consider one another to be one people.

I can't personally comment on what the "canon lore" is, as a Forever Dwarf Player, but since this question probably doesn't have a "true canon" answer: the truth is what makes you as a player say, "I dig it."