Santa has a point.
To make a unicorn, you need to grow horse bone (or keratin) tissue in a lab, then graft it onto its forehead. That’s possible with today’s technology. Then you’d have to color the skin. You could engineer a horse embryo to express a fluorescent protein on its skin, just like glofish. Once the embryo grows into a horse, you graft the aforementioned horn. I’m guessing this could all be done for 10-100 million dollars. The only roadblocks are technology and funding.
On the other hand, making people remember the Holy Roman Empire as a true successor to the Roman Empire would require massive illuminati-scale social engineering. You’d have to first rewrite all textbooks (kindergarten to college level) in the world to accommodate this new fact. Then you’d have to silence the millions of dissenters who would object. Dissenters would range from professors to NEET neckbeards, but they’d all have to be silenced. Some can be bought off, but the rest have to be disappeared. Finally, any trace of their activities would have to be erased, which would involve massive monitoring of the internet.
All 200+ world governments have to collude on an unprecedented scale to make this happen. You’d have to employ thousands of assassins, millions of secret agents, tens of millions of mods to sweep the internet, and as many supporting personnel (infrastructure, logistics, accountants, etc). That’s easily a hundred million people who are in on the secret.
At this point, you have a very open secret. Pretty much everyone will know what you’re doing, and they’ll grudgingly tow the party-line to stay alive (much like citizens of Soviet Russia). You can never make people genuinely believe that the HRE was the true successor of RE, so you may as well not try.