So - the question: why Horst?
Horst is a real name, but it's seen as old-fashioned. We could have called him Dudley with a similar effect.
It also has a second meaning - when someone does something stupid or uncouth, you might say he's made a real Horst of himself.
Of course, this is just our silly nickname for him. We have to call him something other than 'baby', but 'snuggiewuggums' is just too cutesy for us. We couldn't decide on a nickname for the other ones either, so we called them by a new, ridiculous name every time. Humperdink, Ethel, Fritz-Peter, Gertrude, etc. This time, Horst just kind of stuck.