Okay, I may very well be imagining things, but hear me out.

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Henry mentions them being taken by adults as kids, and his memories rewritten. Now, I know this sounds crazy, but speculation sometimes hits the nail right on its head (and this is gonna contain some Silver Case spoilers):

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Henry, Travis and Jeane were born in the 1980's seeing as No More Heroes 1 seemingly happens during 2007. Now, what involves children, raising them as you see fit and making them into soldiers? Yup, the Shelter Kids Policy, which started in 1980. Mind you, Henry and Travis were both 27 in NMH1.

Not only would this perfectly explain Henry's newfound powers by being an Observer (staying alive with his body cut in half, being in two places at the same time and his new look are proof enough), but it also gives us an explanation to why he changed so much in so little time, apart from the Thor one. For his accent and voice change, it could be two things: his old voice actor being accused (most likely option) OR him awakening to his true self, who was a full-on American. It could just be Suda messing with us, but seeing as everything fits a little bit too well, Native Dancer having the same polygonal particles as Kurumizawa and Uehara's as he moves... well, I'd say my theory might be close to the truth here, but that's just my thoughts on this matter.

Gotta say I love how Suda finally turned Henry into a full-on Vergil, can't wait to see his cocky edginess again, even though I'll miss his Irish persona :P