I don't think a Pegasus would be too weird to be a Pokemon. I think it's just too high fantasy, which I do not consider Pokemon. It's hard for me to explain, I can't find the right words, but I certainly agree that a Pegasus Pokemon would feel out of place to me.
yeah i agree, it would be like having a sphynx or a normal mideval dragon(simiilar to charizard and breathes fire). its too well known in everything else it just wouldnt feel right