I apologize for the brief, rushed nature of this post, but I didn't know how else to briefly describe the idea, and allow for more creative room if someone does seem to like the idea.

(Most probably best set either during season 6 &7, or shortly after the Princesses retire) (A dark tag would help too)

News leaks that an Alicorn is born somewhere in Equestria. The story comes because of an excited, young Midwife who alleges that she had a hoof in bringing the child into the world. However, it seems that the couple and the alicorn baby have disappeared.

Rumors spread like wildfire, with sensationalist news media asking: "Where are they?" "Why did they hide?" "Are they ashamed?" or "do they plan on conducting a sinister ritual to harvest the alicorn's power for themselves?" Such nonsense proves to be the opposite of helping to locate the parents.

Some months later, an anonymous letter appears, showing a map with a mark in a forest somewhere in Equestria. Celestia and Luna take it upon themselves to head over to the home.

They eventually arrive at the house to speak with the couple. They exchange pleasantries and speak for a while, until the topic of the alicorn baby comes up.

The parents are quiet, before they lead the princesses behind the house. To a little grave. It died.

Medical pictures from the time show that the baby did indeed have a horn and wings. But it wasn't an alicorn.

It was a deformed baby, and died at birth.