I'm sceptical there is anything you can do (legally) in practice. People are allowed to wear fancy dress.
Unless return of uniform is specifically included in contracts then I can't see trying to charge someone with theft would succeed- it's potentially simply a 'benefit' of employment. I also think you've no chance of identifying where he got it.
If he's not defrauding people in any way then he's very unlikely to be committing any crime. Might be worth speaking to 101 just to get their advice and log the issue. As PPs says, they might be willing to speak to him, at least to get a dialogue going.
There is also the risk of behaviours this might evolve into.
I think it's pretty daft to assume someone with an odd hobby represents any more physical risk to you than any other person (if that was the implication). Assuming this person isn't neurotypical I think you should be careful you are not prejudiced just because this person has a disability.
I do like the suggestion earlier about 'rules' and also maybe claiming there's an insurance problem without getting into specifics.
I really would not advise lying to this person to get him to stop something he's got every right to do.
Whenever anyone tries to broach the matter there are complaints of harassment.
Why is he saying he's being harassed- have staff told him off or tried to get him to leave public areas?
Since he's a fan why not try another approach- invite him for a look around, try to win him over. Get somebody good with people to build a rapport with him then ask for the favour of not doing cosplay near the station (perhaps in return for something related to his hobby).
someone needs to review contracts of employment and the off-boarding process to ensure that all items of company equipment and clothing are being returned.
This.