Usotsuki gets pigtails with blue ribbons to hold them in. This effect is purely cosmetic.
From the dark maze, go left, and then at the first upward path you see, follow it and keep going up. Enter into The Fog World through the flowers and go down, left, up, and when it comes to a -| shape, go left to enter the hole to Smoke-Stack World. Wander around for a bit and you will eventually find a tower. When you get to the top, interact with the blue ribbon and you will get the effect.