This is actually a strange thing – Arthes always rides a horned horse, which is odd. And in Skyrim, there's the bone horse Arvak, which has some kind of growth sticking out from the back of its head like a pterodactyl's, presumably because a horse's head without a mane doesn't look good.
But I think this is a reference to bicorns – a medieval meme. A unicorn is like the embodiment of good, while a bicorn is an evil horse. Lilith also appeared in minstrel tales, and some consider her a canon from the Old Testament, lol.
The modern, cute image of unicorns is far from the original, mythological one. The Greeks believed that a unicorn, or rather a cartazon, was a reddish, muscular beast (most often a horse, deer, goat, or bull) with one large, pointed, spiral-shaped horn protruding from its forehead. Cartazons are generally not dangerous, but the males are irreconcilable with each other and attack even females. They also killed people.