Regina and horses is a theme. Her horse is a reference to Don Quixote. Then she used a windmill to trigger fake memories for David.
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“If I had a world of my own, everything would be nonsense. Nothing would be what it is, because everything would be what it isn't. And contrary wise, what is, it wouldn't be. And what it wouldn't be, it would. You see?” -- Lewis Carroll, Alice's Adventures in Wonderland & Through the Looking-Glass