  Using the Southern Proper Motion (SPM) catalog, we show that the candidate
Thorne-\.Zytkow object HV~2112 has a proper motion implying a space velocity of
about 3000\kms if the object is located at the distance of the Small Magellanic
Cloud. The proper motion is statistically different from that of the SMC at
approximately $4\sigma$ in SPM, although the result can drop to about $3\sigma$
significance by including the UCAC4 data and considering systematic
uncertainties in addition to the statistical ones. Assuming the measurement is
robust, this proper motion is sufficient to exclude its proposed membership of
the Small Magellanic Cloud and to argue instead that it is likely to be a
foreground star in the Milky Way halo. The smaller distance and therefore lower
brightness argue against its proposed nature as a Thorne-\.Zytkow object (the
hypothesized star-like object formed when a normal star and a neutron star
merge) or a super-Asymptotic Giant Branch (AGB) star. Instead we propose a
binary scenario where this star is the companion of a former massive AGB star,
which polluted the object with via its stellar wind, i.e. a special case of an
extrinsic S star. Our new scenario solves two additional problems with the two
existing scenarios for its nature as Thorne-\.Zytkow object or present-day
super-AGB star. The puzzling high ratio of the strength of calcium to iron
absorption lines is unexpected for SMC supergiants, but is fully consistent
with the expectations for halo abundances. Secondly, its strong variability can
now be explained naturally as a manifestation of the Mira phenomenon.
