It makes sense from a mythological perspective.
Ahem. Gather round, ye children, and I shall weave for ye a story!
See, way back when in Asgard, Thor and Loki were good buddies, right? Thor was the son of Odin, Loki's Blood-brother, and the two of them got along pretty famously. They were both pretty fun guys, and they liked a good game and a good bet, being nords.
Now, after a battle with some giants, the road to Asgard had been wrecked up, so the gods had to call in a guy to fix it. Well, this giant showed up, bragging that he could fix all the damage to their road in a single day. Thor and Lokie thought this was funny, because damn, was that road ever broken. So they made a wager with this guy; they'd pay him three, four times the asking price if he did it in a day, but if not he worked for free. The giant agreed, and he set to work.
Thing is, he had an ace up his sleeve. The giant had a mighty stallion who carried his materials for him, gathering the bricks and tools and allowing him to work ridiculously fast. It looked like Thor and Loki were going to lose the bet, but Loki had an idea. He was a half-giant, and that gave him the ability to shape-shift. Loki turned into a beautiful mare, and paraded himself in front of the stallion. Loki managed to get the stallion to follow him, leaving the giant to work on his own, and he couldn't get it done in time, and lost. Loki, however, didn't return for a while. When he finally did return, he had with him and eight legged foal.
Now, the other gods mocked Loki for this; not only had he lain as the woman with the stallion, he had borne it's child. Thor and Odin, both indebted to Loki, were pissed about this. Odin proclaimed that Loki had done a great thing here, and adopted the horse, named Sleipnir, as his personal war-horse. Sleipnir's eight legs made him the fastest steed across land, running like lightning into battle, and with Loki's cunning it was completely fearless.
So yeah, a few generations down the line you have a insanely fast pony with gummy limbs and a knack for a bit of reality warping - all talents Loki the half-giant possessed. It's a theory that I've seen around a few times, and it really does fit pretty well.