There's probably an interesting story to be told about actual situations where cities were captured by comparable tricks, but it's also pretty important to keep it clear that

• the specific device of the wooden horse is fictional, and
• the use of a spectacular or miraculous device for capturing a city is a folkloric-mythological trope that can be seen in other Late Bronze Age-Iron Age legends in the eastern Mediterranean, in Egypt, Israel, and Anatolia.

I mention the second point to really ram it home that it's a storytelling device, a mythical motif, and not a historical siege strategy. For fuller details about other occurrences of similar tropes, you could take a look at this answer I wrote a few months back -- but with the caveat that the wooden horse's fictional nature doesn't rule out tricks being used in sieges.