It could be that Devon and Cooper are the same person suffering from multiple personality disorder. That would make a lot of sense in the American Horror Story: Asylum world, no?
We first see these characters in episode three Nor'easter. The two of them along with a friend Joe dress-up as Bloody Face and terrorize present-day Briarcliff Manor visitors, Leo and Teresa. Cooper shoots the honeymoon couple in Devon, although not named, enjoys watching how they died. They then face to face with the real Bloody Face.