There have been flying horse UFOs over Milan and Mecca, both of which turned out to be toy balloons, but this doesn’t seem to fit that description. It could be a drone being flown by somebody attempting to observe the Colima eruption, or it could be something stranger. In either case, it is an unknown at this time.

Story Source:
https://www.youtube.com/watch?v=PgISmOODDvk