I think Pegasus is already taken
Lol yep. :)
I do see lots of examples of names from Greek/Norse mythos, though. There are tons of options from those:
Perseus, Hermes, Hercules, Hydra, Minotaur, Argonaut, Sleipnir, Gungnir, Hunin, Munin, Mjolnir, Poseidon, Prometheus, Bellerophon, Kraken, just to name a few random ones.