This list of mythical creatures that begin with this letter and I am constantly gathering information from each continent, and is continually being updated.
Pegasus (Greek)
Pegasus is a winged horse in Greek mythology, usually depicted as a white stallion. He was sired by Poseidon, in his role as horse-god, and foaled by the Gorgon Medusa. Pegasus was the brother of Chrysaor, both born when their mother was decapitated by Perseus. Greco-Roman poets wrote about his ascent to heaven after his birth and his obeisance to Zeus, who instructed him to bring lightning and thunder from Olympus.
Pegasus is the creator of Hippocrene, the fountain on Mount Helicon. He was captured by the Greek hero Bellerophon, near the fountain Peirene, with the help of Athena and Poseidon. Pegasus allowed Bellerophon to ride him in order to defeat the monster Chimera, which led to many more exploits.