Yes it's possible but it would take modelling and programming knowledge to create
such a thing.
First you would need to model it and setup how the character interacts with it (can it be killed, how do the character model sits on it, do you want it to attack
other enemies. can the player get off it when it's in the air. Does it just stand there when your not riding it or does it walk or fly around and eat grass. Do enemies attack it or leave it alone. what noise it makes when it walks and/or flys or is under attack.
Then You'd have to program how to control the when its just walking/running,
how to take off, and how to control it in the air.
After all that you have got to make it fit in with the world somehow. So you would need to create books, make the npc's in the game talk about them. Create a place for them to be put in the city when you fast travel, or let them come into the city's
with you. Exploring... you would have to create citys and/or Flying fortresses. Then make sure the A.I arent able to walk out/or off of those places and fall to their doom if theyre not supposed to

. and finally add quests etc....
It would take some time to make....