First, "Zulqarnain" means "2 horns".
Traditionnaly, this person, is considered to be Iskander, AKA Alexander the Great, known to be the greatest conquerer of all the time.
If you look at the representation of king Alexander the Great by his people, he was represented with 2 horns (see here)
There's no mention of horns about Jesus/Isa.
It could take several pages to explore, but what the Quran says about Zulqarnain is the same thing that is said in history and greek tales about Iskander/Alexander.
Alexander said, "This mountain is higher and more terrible than all
the mountains which I have seen." The old men, the natives of the
country, said to the king: "Yea, by your majesty, my lord the king,
neither we nor our fathers have been able to march one step in it, and
men do not ascend it either on that side or on this, for it is the
boundary which God has set between us and the nations within it"
Alexander said, "Who are the nations within this mountain upon which
we are looking? "The natives of the land said, " They are the Huns."
He said to them, " Who are their kings?" The old men. said: "Gog and
Magog..." Alexander said to the natives of that country," Have they
come forth to spoil in your days?" The old men answered and said to
the king: "May God establish thy kingdom and thy crown, my lord the
king! These fortresses which have been overturned in our lands and in
the lands of the Romans, have been overthrown by them; by them have
these towers been uprooted; when they go forth to spoil, they ravage
the land of the Romans and of the Persians, and then they enter their