I had something similar happen with a G1 Sky Flier. Tried to pry her head off and the neck ring stayed inside. My personal theory has to do with a flaw in how the pony's head was made - rotational casting I believe? In any case, sometimes the plastic isn't evenly distributed in the mould and the strength of the glue far outweighs that of the thin edge between head and neck ring. Attempting to pry off the head or cut it off separates the two, leaving the ring in the body cavity (may not be very obvious due to thin top edge).