Is it really necessary that Zanthus's mount be present in the caverns with us, versus being left at a stable that went miraculously undisturbed?  If we're in a cavern, that likely means tight passages, low ceilings, uneven ground, and climbing.  A horse would be a liability here, not an asset, and I'm sure nobody would object to recovering it once we all made it back above (it could even become a side-quest of sorts).