Can you create a breed on Howrse?

No.

The only way to get a Pegasus, is to buy Medusa's blood and give it to one of your foals/horses/ponies. Medusa's blood only works once.

You can also buy a Pegasus in the Sales, found under breeding. You need to be over 20 days old on the site though.

:)

You can breed 2 Unicorns though.