Gloria: "Aww c'mon antlers, why are you so bent out of shape?"
Jesse: "GIVE IT BACK!!! EVERYONE'S LOOKING AT ME!!!"

Gloria isn't really a prankster by nature, but given Jesse is the only other person she knows with hooves, so the fact he never takes his shoes off in front of anyone got her curious. Of course she doesn't know Jesse is afraid of... well everything really, the least of which being the fact that he even has hooves as opposed to toes like mostly everyone else. It's also not helped by the fact that he's naturally afraid of girls, so this has gotta be an uncomfortable situation for the poor buck.