Cephalophore
A cephalophore (from the Greek for "head-carrier") is a saint who is generally depicted carrying his or her own head; in art, this was usually meant to signify that the subject in question had been martyred by beheading.
Handling the halo in this circumstance offers a unique challenge for the artist. Some put the halo where the head used to be; others have the saint carrying the halo along with the head.
The term "cephalophore" was first used in a French article by Marcel Hébert, "Les martyrs céphalophores Euchaire, Elophe et Libaire", in Revue de l'Université de Bruxelles, v. 19 (1914).
Possible origins
The topos can be traced to two sources. In a homily on Saints Juventinus and Maximinus, John Chrysostom asserted that the severed head of a martyr was more terrifying to the devil than when it was able to speak. "He then compared soldiers showing their wounds received in battle to martyrs holding their severed head in their hands and presenting it to Christ". The other source was the Western vita of Saint Denis, founder of the see of Paris, who was identified in the text with Dionysius the Areopagite.