In the show, Sam finds a horn in the dragonglass/obsidian cache north of the wall. Ygritte also tells Jon Snow about Mance digging around everywhere, I think it was Season 2 or 3, so I believe that nugget isn’t book-only.
That’s a different horn from the Horn of Joramun/Horn of Winter. The same horn was also found with the dragonglass in the books, only it was found by Jon Snow instead of Sam.