Found in northeastern New Hanover, near the Roanoke Valley area. There is a point of interest here called the Old Tomb that is south of the "R" from Roanoke Valley. It is a small hole in the ground with a tomb right in the middle. If you head directly north from the altar, you'll enter an underground area of the tunnel. Turn left down the first path you ca go and immediately look to your left. You will see four skulls on a shelf. Shoot the skulls, and behind them on the ledge will be the Ancient Viking Comb.
This is a fairly interesting trinket, but it doesn't serve much of a purpose in the game. You can sell it for some extra cash when you go to a fence, but beyond that there isn't much point to having it in your inventory.
Source: Suprak the Stud's Red Dead Redemption 2 Guide