(Amarillo, Texas, U.S.A)
Unicorns are a lost species that were hunted to extinction thousands of years ago. They were first created when Artemis, the goddess of animals, was tricked into almost having sex with Zeus. He had formed himself into a horse and snuck into Artemis's stables. And when she went to take care of them he would have intercoure with her.
Artemis sensed the tricky god and cursed all his horses into being "horny" horses. Unfortunately, this didn't go as well as Artemis had planned. All of Zeus's horses grew horns, thus creating the unicorn.