This is what is written in the "Rulers of the Sun" booklet Written by Michael Brown that came with one of the figures:

Pig-Head – Zegor the villainous Prince:  But evil lurked in the Land of the Sun, in the form of Zegor.  Zegor was the rich and villainous Prince of the House of Shadus.  He was known throughout the land as the devious and spiteful lord who spread despair among his workers.  He used his wealth to build torturous chambers in which to punish those who did not obey him.  The workers who remained of purest souls fled, to live among the House of Dynus.  Once a man of handsome features, Zegor was transformed, by the Ruler of the Sun, into a hideous creature – half-man/half-hog and was forever to be called “Pig-Head.”

Pig-Head is an angry creature.  He lives with one burning desire – to bring dishonor and shame to all those who live among him.  He has trained his demons to follow his evil plan.  He and his followers will always lurk beneath the sun and never shall they dwell in the land of paradise.

Pig-Head was banished into the dungeons of Hades, where he forever tries to harness the sun’s beautiful rays and use its power for his evil doings.