Given all the information we currently have, it's most likely that he's a unicorn, true. No one has seen his bare flanks, though, so there's no absolute proof. Also, all jokes about Celestia's stained glass windows aside, if Luna could casually defeat him then they wouldn't have had to go through that whole ordeal with Shining Armor's barrier spell and the Crystal Heart and all that.
This might have been another of Celestias trollings for Twilight. She KNEW that she and Luna could defeat him again if she failed. I mean, she's older than one thousand years. She might have developed these kind of methods for teaching lessons.