According to Jim, unicorns do not exist in the world of Skin Deep.
In the Word of God the following questions and answeres are given:
- I saw in one of the Orientations-Avalon pages that there was a spirally horn labeled "alicorn." You've mentioned before that there are no unicorns, but alicorn is the name for unicorn horn. What's up with that?
- I never said that there didn't used to be unicorns.
- Are Unicorns really extinct or as extinct as Sphinxes?
- The general consensus among the mythical community is that there are no unicorns. : D
So, it would seem that while no one thinks there are unicorns, they may have existed in the past. In fact they may be as extinct as Sphinxes and Dragons.