Having a degree in animal repro, I can tell you that horses do actually conceive twins quite often, but usually one is aborted very early on in pregnancy. If not, twins result in one of three scenarios: 1) one dead foal, one live foal 2) two dead foals 3) two dead foals and a dead mare. Maaaaybe every 150 years or so something bizarre will happen and a mare will have live twins and then people take all kinds of pictures and shove them in the experts' faces and say "See? TWINS! So THERE!" Then we roll our eyes, mutter something about exceptions that prove the rule and get on with life. :-)
Admittedly RL biology has nothing to do with computer game horses, but it's been said several times that foals only come one at a time in Pets. Which stinks, cause I'd like twin unicorn foals, too. :D I mean, come on! It's a mythological beast that can set things on fire and teleport, why can't it have twins? :wink: But it would probably be too complicated to have a possibility for twins only with a unicorn mother.