Ben Reiniger wrote on Mon, Jan 18, 2016 08:20 PM UTC:
I am also not familiar with the Pegasus as a named piece. As an image I am most familiar with it as representing the Bishop-Knight in Ed Friedlander's applets. That has a nice feel to it, the Bishop move somehow adding "flying" to the knight(/horse)'s move; but in most places people somehow overlay a more traditional Bishop imagery with the knight, which I think is a better representation.
I think the Pegasus and Unicorn images (and the latter name) are just attractive choices as chess pieces, and so get reused for several different things. I wouldn't expect any confusion to arise if you reuse them in a new way.