Oh my! Evidently this beanie means something to him. Maybe he is having some very fond memories of that vacation and he remembers that beanie came from there. I would be honest with him and advise him that when he asked for it previously you had no idea where the beanie was and you haven't seen it. Maybe he needs to check his own place for the beanie? You might want to suggest that he look around in his stuff.

They do tend to ask for things at the oddest times. It's typical. I have experienced something very similar to this.

It is also a way to touch base to see if you are still out there.

P.S. He will most likely ask about this several more times because they think you have the stuff and won't give it to them.

Sit quietly, the answers will reveal themselves when you least expect them to.
The past is gone, the present is a gift and you need to focus on today, allow the future to reveal itself when it is ready.