AFAIK horses and hyenas don’t have penis bones either.
EDIT: It is absent in humans, ungulates (hoofed mammals), elephants, monotremes (platypus, echidna), marsupials, lagomorphs, hyenas, binturongs, sirenians, and cetaceans (whales, dolphins, and porpoises), among others.
@Meanlucario
Probably not, but they had horses (Specifically shetland ponies IIRC). In fact, unicorns were based off the description of “a steed with a middle horn”, to vikings, a steed is a horse, and a middle horn is a narwhal’s tooth, and ivory piano keys are made of alicorn.