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There is actually an Pegasus-like creature (a horse-dragon) creature in Asian mythology, but I can't quite recall the name right now. There is also a mythical creature that is very similar to the unicorn, the Kirin.
@OdysseyThank you for commenting. Indeed there is the Chinese Longma and the Japanese Kirin, but in this case I think we are safe to indentify a Greek Pegasus.