It reminds me of some rubber baby toys I used to have, but they would make one with a fuzzy tail for babies, would they? They'd probably rip it out and eat it!
The toys in question were, I believe, intended for chewing. Like one of those puffy rubber books they make for babies. Maybe that's what I'm thinking of? But Hathorcat's theory sounds more likely.
Is this pony made of rubber? Or some sort of cloth?