This glitch is only possible in a New Game Plus playthrough, and you need the DLC for it to work. What you have to do is play the "Blood and Wine" questline until you reach the Land of a Thousand Fables, save the game while you're in the "fairy world", and start a NG+ from that file.
Roach will be a unicorn in that new playthrough (including cutscenes), as the game fails to load her "old" model properly. The downside of this is that you'll also lose the weather indicator next to your minimap as there is no different weather in the Land of a Thousand Fables, and Roach can occasionally glitch out further (black/white shimmering mane)
Roach will also often be "naked" (no saddle/bridle) or wear ONLY the saddle but no bridle (or vice versa). She can apparently also randomly turn back into a normal brown horse, but that can be undone by reloading an earlier save file, so save often.
