Another prime example of the kind of silly profanity
my Uncle John would use around me as a small child. (For all I know, he uses it in more mixed company as well, keeping his language safe for genteel company...)
This utterance cannot help but stick thanks to the inalterable whimsy it provoked - a pegasus perhaps, but no reference is made to wings anywhere... just a horse with something wrong that I can't quite place my finger on...
ah yes! It's the feathers!