If a skeleton/skelly horse gets trapped in sand it gets fossilised.

A fossilised skeleton or skelly horse can be found by the fact the sand around it stays in place and changes to a more solid looking texture, this can then be brushed away by the archaeological brushes from caves and cliffs, upon doing so the skeleton will drop as an item and can be placed like an armour stand in various poses, the same goes for the fossilised horse.