I have someone in my game playing a Changeling who claims allegience to the Court of Santa, as a method of avoiding recruitment by the other courts. I've made him fully aware that there's a chance that if he makes too big a thing of it the real 'Santa' may come calling on him to enforce that allegience.
While I haven't in all honesty decided on specifics, there are a few things I'm toying with....
The character of Santa can actually be heavilly linked to the character of Puck the Trickster (Puck even has the characteristic 'Ho, Ho, Ho' laugh).
I'm leaning towards the view that the actual Santa is portrayed as being kindly, generous and generally good natured, because you really don't want to annoy him. In fact, it may be that the truth is so horrible that he's effectively been bound deep in the Never Never to prevent him from rampaging across the world. (Think along the lines of the image of him portrayed by Jack in 'The Nightmare Before Christmas' when he's trying to sell Christmas to the inhabitants of Halloween).
As arsieiuni says, the Odin/Erl King connection is a valid interpretation -
though that does clash with established separate characters in the Dresden-verse - it could be one or the other though
. It's not unlikely that the rumour of a fourth powerful unaligned Faerie powerbase holds some degree of truth. Maybe he's the fabled Faerie King, and the Mothers keep him bound away while the Faerie Courts tried to diminish him by virtue of spreading a false portrayal. Which also gives a potential plot line for the weakening of the containment with the destruction of the Spring and Autumn Courts (assuming of course they ever existed). In this case the Knight may well be a sort of Black Ops type who is intent on destabilising the remaining courts.
