The general consensus I've found on this is that he might have and if he did it was much more likely a rational decision than a mad man appointing his horse to high political office. Most of what we "know" about Caligula comes from people who lived after him and probably had a bone to pick or just made stuff up so the accuracy of their portrayal of him is in question. That being said if he did appoint his horse it was a way of basically telling senators and other politicians that they were pointless and he was the one calling all the shots. Kind of a so easy a caveman could do it thing but in this case a horse. So if it is true it's likely just a political statement/insult and not the decisions of a raving lunatic. Unfortunately we may never know the full truth of what happened and why. Source: Caligula, A biography by Aloys Winterling.