Unicorns are even easier to explain then that. The reason being that a half sheep half goat was born a few years ago with a single horn in the middle of it's forehead. If you go and look at the tapestries the unicorns are remarkably goat like. Also at that time period they would deliberately place male goats in the sheep herds to help protect them against natural predators. Under those circumstances it's not to hard to believe more hybrids with single horns would be born. Rare, probably, but still not unlikely.