The one skin besides his base skin that pertains to lore is the Viscero skin. He was a slaved gladiator in Noxus, with no hint he had any training as a horseman.
The Winged Hussar skin has a horse in the splash because Hussars were light cavalry. This carried over to the Warring Kingdoms splash, where Zhao Yun (who Xin is clearly representing) famously in a couple cut scenes rides in to aid his king. No clue why they put a modernized commando on a horse though.
As for horsemen in history, while a lance or spear may have been used in a charge, they broke often enough in solid impacts that the true focus of mounted combat was more often melee weapons such as sword, axe, etc...or less often the rider was a mounted archer.
Finally, not a fan of the idea putting Xin on a horse for a flashy charging ult or such. That will really put a dent in Hecarim's unique style and appeal.
Perhaps something more akin to Corki's passive.
On a long timer any time Xin respawns/returns to base he can mount a charger, gaining X move speed and increasing the damage on his already existing charge ability. Since Xin launches himself off his horse upon the charge, the horse runs off to base again.