How can I remove a PEG shampoo from a natural horn-comb without damaging it?
Soap, water and a dash of elbow grease. PEGs are all surfactants which will wash away with water and if they don't then an alcohol-water mix (vodka) will certainly remove any PEG residue, probably along with some of the natural oils in the horn comb that has built up over time and usage. 

This may leave the comb with whitened patches or streaks on it.  These are not a PEG residue but fine cracks in the horn, interstices in the layers of keratin that the horn is made of, that used to be filled with oil which the PEG shampoo has removed.  Any number of natural oils will improve the appearance of the horn, including, but not limited to, natural scalp oils (i.e. use the comb for its intended purpose), linseed oil (a favourite of cricketers for their bats), castor oil, beeswax, olive oil (a bit sticky) or a light application of any proprietary furniture polish.  Choose something unscented if you don't want Mom to find out. And start with the least viscous options you have, these will achieve greater penetration of the fine cracks in the horn and "seal" them with a wax if possible.

I've seen antique tortoiseshell respond very badly to cleaning with detergents, but the damage is really illusory and can be restored with the gentle application of oils and waxes.