Three-horned sheep are real

Ovis aries - Old Norway Sheep (anomalous, three-horned)

As explained at Biomedical Ephemera:

Three-horned sheep legitimately have more than two horns... As a result, the extra horn locations can deform the skull shape of sheep who develop them, resulting in…"special" sheep.

Thankfully for farmers, most of the time, the extra horn and semi-deformed skull/face has no influence upon brain development, and the sheep are no more dull than average.

Text and image from an eighteenth-century German nature book.