[TOMT] Animated movie with a grey Pegasus

Hi! I have this glimmer of a memory of a movie or animated short with a Grey pegasus. I feel like she had feathers, I remember a scene where she was alone and sad with her wings. I remember a specific scene of her shaking her head.

I almost feel like its animated more like all dogs go to heaven style if they makes sense?

I would say 90's to 00' no later than 2010