No offense, but the old people here always assumed anything screaming in the woods like a girl was a panther (eastern cougar). That's what they thought panthers were supposed to sound like. They were pretty scared of 'em and they would make an effort to kill them. They're not actually extinct, but at least until recently "officially" so.
Sounds like seeing a hoof print in Tennessee and assuming it was a giraffe to me. Or maybe just deliberately scaring some kids by telling them, and somewhere along the line some city boy didn't get it.