Ridable Winged Horse
The Black Horse, Skeletal with White Eyes Pattern (Thestral) from the Harry Potter / Fantastic Beasts set "Grindelwald's Escape" has a "saddle" section which is 2x2, instead of 1x2.

This would allow you to connect use both Wings a MiniFig, each using 1x2.  However, it doesn't exactly look like a regular horse:


Or, potentially, you could try combining Horse Saddle with Two Clips with a pair of either Bar 1L with Clip Mechanical Claw or Arm Piece with Tow Ball and Clip, to rotate the connection from Vertical to Horizontal, and connect wings to that.  I am not sure if there is enough clearance at the sides of the saddle to orient these correctly though.