Lucky you! you have a horse, and now you're even expecting a new born too, that's wonderful, this is what i could translate,
ملكة الدانمارك =malikat adanmark =Queen of Denmark
فرس فريد = faras fareed=A unique Mare
بنت الفرس الرمادي = bent alfaras aramadi= Daughter of the gray mare
أول مولودة لتكون بطلة awal mawlouda letakouna batala= Firstborn to become a champion
ملك الدانمارك =malek adanmark= King of Denmark
حصان فريد = hisan fareed=A unique horse
ابن الحصان الرمادي =ibn alhisan aramadi= Son of the gray horse
أول مولود ليكون بطلا =awal mawloud leyakouna batal= Firstborn to become a champion (this one is the longest, i don't think you want to name him this one
.
i suggest one of the first two ( king/queen of Denmark or A unique horse or mare..)
maybe also alborak= ألبراق = the swift horse
أللاصيل=Alaseel= the pure
but if you want to wait for others suggestions.....
Salim