Well, reposting an old photoshop of mine, Yarn Kirby would be pretty amazing if they pulled it off but it'd be one hell of a batch of wizardry by the PMDT to get it to work. I'm talking G&W Thin-ness on one alt alone, a new set of hats, the results would be amazing but realistically speaking it's probably not a thing.
I think G&W thinness is done by a combination of materials and shaders on his model (which is actually 3D), so I do believe it can be done on other characters, and since it's not controlled by moveset data it can be costume-specific. Not sure how that would affect the character's hitboxes and such, though.
Most hats (with a few exceptions) don't vary between costumes and use the same model and texture, although I do wonder if some coding wizardry might make them do so. I'm pretty sure it can be done in BrawlEx if you have the know-how, although I myself don't know how it works since I haven't bothered to look into it. I might check and see if I can add some extra hats in my BrawlEx build, just to see if it works the way I think it does. I know brand-new hats require PSA on Kirby but I don't know if multi-hats on existing characters do.
Edit: Works as I thought in BrawlEx. Had a thought - PMDT probably already know how to do multiple hats on existing characters. They did it with Mewtwo already. He's cloned from Lucario, who only has one hat, yet Mewtwo has one per costume.
There is a problem I can foresee with this. We would only want one extra hat for the Yarn costume, but so far it seems like the only possibilities are one hat for every costume or just one hat. No in-between. It would be bothersome to have to add a hat for every costume on every character. Although they could just copy the existing hats onto most slots, I suppose. It would be kind of inelegant, but it might work.
Tl;dr: It might be possible to do exactly what you're suggesting
IF the magical PMDT feel like going to all the trouble it would take to do so. The setup and coding alone would be a ton of work since it would require coding edits to every character, not to mention actually making all of the new hat models.