There are a few options for model horses regarding wings at almost every scale. A few prominent artists, like Kitty Cantrell, sell resin wings that are designed specifically for model horses. This is all well and good, but there are so few people who make micro scale wings.
A long time ago, over a cup of tea with my friend Neena Bickram in her kitchen, I handed her 2 micros for finish work. Both were artists choice with the only goal being that they would be uniquely different than all of my other plain bay models. Neena is not one to be easy on herself and asked if I wanted wings for the Furia and I said sure. She knew I was a major fan of her striped pegasus foal and we agreed on lots of stripes. Neena even sculpted on feathers into the mane and tail.... and those wings. I think she mentioned that she found them in a thrift store and had a bin at home for wings she found. Amazing! These wings are a little bendy and light weight so Furia (now Yami), can stand easily. She is one of the best showers in my string and had multiple NAN cards!
My ex was hugely into tabletop gaming. At one point he had bought a box of 3 raven models. I was intrigued and wondered if they would suit performance showing. But then the thought occurred to me, that maybe if I chopped the wings off, these may actually work to make a micro pegasus. Indeed they did but before I could even glue them on... I lost them somewhere never to be seen again. The brand was Malifaux and they did fit well for small micros (ponies and foals). Malifaux is basically a more economy friendly War Hammer... but if you have slightly deeper pockets, War Hammer would actually be a decent place to look for scaled wings. Note that these figures are typically larger and these wings may be better for curio+.
The issue with Malifaux & War Hammer models is that you need the recommended hobby glue or they won't stick, and the plastic is too hard to drill into and pin!
So keep your eyes peeled for scaled micro wings! They may be attached to something that doesn't need them anymore. Even if they look a little cheap, a little paint and apoxie can fix anything. Remember, Safari and Schleich make a lot of animals with wings and these can be forcefully removed.
Below is a list of hobbyists on Facebook who create hobby scale wings (let me know if I am missing anyone):
Rachel Lane
Kitty Cantrell
Quequinox Art
Kathleen Moody
Celine Dion