I think it went through the back of his head out front of his head or out his ear at an angle somehow. As you was going through that house you should have seen a impression of his head
Maybe hitting his head on the wall. Also the size of the hole is because some people removed pieces of wood to take them as a souvenir.
There are people that say when Jesse James was exhumed that there was no exit wound in the skull of Jesse James. The hole in the wall was said to be with a bullet exited Jessie's head. Some still believe this and some do not. The size of the hole is
went through his head and into the wall
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