This story is a good illustraton of how rumors start and get amplified. It's easy to see how some cartoonist made a leap for drama's sake, or to be mean or disrespectful, and skipped from being disguised as a woman to wearing a dress and bonnet.
The female garb in the cartoon is simply an exaggeration to make a point, like most effective editorial cartoons do. The underlying message, that Davis was caught slinking away in female disguise, for whatever reason, probably struck many people in the North as somewhat cowardly and/or dishonest.