Is there a horse that a minifigure can ride and you can still put wings on? I've looked at several sets and they all have pieces in the 'saddle' section to hold the wings.
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.
I don't think there are any horses with clips to hold wings on the body, but if you use plates with clip, most of the cutout will still be available for a minifigure's legs.
Since you didn't specify how close to reality horse should look like you can build one using bricks. It would look more like a Minecraft animal though (this might be not a disadvantage). Such approach gives freedom of design and looks as well as a plenty of possibilities for wing placement and still have a place for minifigure.
There is an alternative to horse mentioned by Chronocidal with 2x2 stud area for you to use/build saddle and contraption for wings. 19 versions, to be precise.
One as example:
Last suggestion would be to use which ever horse you like and can be used to build wings of choice and then just strap the minifigure with rubber band on top