You got your tradition of dressing up on Halloween ("All Hallows Eve'n" = the night before All Saints day) from us stupid Catholics in the first place, or didn't you know that?
People would dress up as saints. Those who dressed up as martyrs incorporated some elements of the instruments of the martyrs' death (which is a traditional element in the iconography of martyrs), which is how gory costumes got started.
And now you think we're strange for not embracing your corruption of our traditions???
“And now you think we’re strange for not embracing your corruption of our traditions???”
Don’t get me started on that Coca Cola creation, Santa Claus.