We distinguish based on the parity of n and consider G the graph whose vertices are the roundabouts (all of degree 3) and the edges are the roads. Already, for the statement to make sense, we need n⩾2.
For n odd: First, we note that n=3 and n=5 work (draw a picture). Next, we will show that if n1 and n2 are solutions, then n1+n2+1 is also a solution. Let G1,G2 be two graphs with 2n1 and 2n2 vertices that satisfy the statement. Let u1,v1 be two connected vertices in G1 and u2,v2 be two connected vertices in G2. Add two additional vertices u3 and v3. We proceed as follows:
1. Erase the edges u1−v1 and u2−v2.
2. Connect u1 and u2 to u3.
3. Connect v1 and v2 to v3.
4. Connect u3 to v3.
We can verify that the graph G obtained satisfies the conditions on the degree of the vertices, and that the paths traveled by Headless Horseman in each of the graphs can be joined to form a path that works. Thus, every n⩾3 odd works.
For n even: Let's show that there is no solution in this case. The graph is not necessarily planar, but it can be drawn on a surface of genus g. According to Euler's formula,
S−A+F=2−2g
With S=2n the number of vertices, A=3n the number of edges, and F=1 the number of faces. F must therefore be even, but the existence of a path such as the one traveled by Headless Horseman means that the graph can be drawn with a single face.