In Fact it is a horse like Monster! (Final Fantasy Lore)
Because Name changed often it is not easy to find "Dark Horses" and even when you find them, you do not know if it is really meant as "Night"-"Mare" or just "Nightmare".

FFI

FFIII

FFXII

Historical that is not entirely true, because in real it is more like a incubus sitting astride a sleeper's chest and becomes heavier until the crushing weight awakens the terrified and breathless dreamer, while controling their dreams and creating nightmares. Why it is connected with a horse is going a bit deeper... in short: its about darkness, evil and nighmare dreams.
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