Read Dead Redemption II, celestia is transported to a snowy and frozen lake. No horn, no wings (optional), just unusually strong, fast and intelligent. Can only speak to those she trusts but through the mind (optional) and is found by Arthur Morgan when his caravan was crossing the mountains, she was drawn in by the gunfight they had and taken in by Arthur for whatever reasons anyone can come up with. Arthur goes through game with good karma/actions. With the occasional bad one. Celestia reaches an understanding of his groups situation and reluctantly begins to cooperate with Arthur. Growing closer and with a blooming friendship after more than a few months of riding and fighting together celestia either still isn't comfortable with his actions, or begins to have no qualms killing for him or at least being very helpful.

Just an idea I had while playing RDR2 with the white Arabian horse I found and named celestia.