Sorry it took me so long to get to this, but I'm going to try and give some feed back.

He sat in a cold dark alley way in the run down section of Canterlot. His wings clung to the sides of his body trying to hold in the little bit of warmth that the greedy wind keep stealing away. A particularly strong gust ran through his messy black mane sending shivers down his spine.

So, right away I can see where you could improve. Here we have someone in a dark alley, but we don't know who. That first 'He' should be 'Constantine'. That way we know the name of the protagonist. I know the description and chapter title said his name, but at the start we need to make sure it's clear that it's him. Also, we don't know what Constantine is until a little latter. I would have tried to establish that he is a pegasus early on. This would also make the fact that he can use magic more of a shock. For a while I thought he was an alicorn.

Reading on, I see you don't say his name until the end. So did he not have a name before? Did Luna name him that? It's a little confusing. So if you want the reveal of his name at the end then I would start the story with 'The lonely pegasus colt'. I might even go as far as say he's nameless or something. I really don't understand what you were going for to be honest, but that might be the problem.

So, I think this story could have used a lot more build up. It would have been great to see more of Constantine's struggle and how hard it was for him. Also, it would have been a lot more exciting if the guard tried to help him more before he transformed. Maybe the guard got to know the colt a little and brought him to a home or place where he could get some food. Then, once it seems like Constantine made a new friend and things are going well, then the full moon thing happens. I would then have the guard or guards restrain him and bring him to the princess so Luna can meet him.

This way we get to see more of what the main character is like and see more of what life is like for him. That's probably how I would do things. You want to make sure that people have a reason to connect with your hero or have some reason to sympathize with him other then 'he's sad and lonely'. You need to show us why and how he's sad and lonely, not just say he is. Get into his mind more, if that makes sense.

That's all I really have to say. I hope it helps. I know you've been having trouble with this story.