Could Cozy be related to Starlight?
Follow me on this one.

Pink fur and blue mane (Starlight's blue stripe shows she has the phenotype for it.)

Both have an affinity for flight.

Both are magical prodigies.

Similar struggles with, let's be polite, mental health.

Monomania (Magic in Starlight's case, Tirek in Cozy's.)

Cozy and Starlight seem to have genuinely clicked during Marks For Effort. Cozy actually took her advice into consideration and Starlight seems to have admired Cozy's cunning. Both are also inexplicably competent at what they set out to accomplish and when Cozy got a horn she seems to have automatically understood magic at an intuitive level.

Is Cozy Starlight's kid?

(Fun fact-Whether Starlight is pink or purple changes every so often and/or I'm colorblind.)

7097391
I'd bet that if they were related, they would be closer to cousins. They don't appear aware of any relationship between them. Also, I thought Cozy was closer to peach in color.

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Presumably she had her with a pegasus.

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Those are pretty valid points.

There was a story where Cozy originated from Starlight. My problem then as it is now is that it would seem a little incredible for Starlight to create life and not guess at it's origins, especially given the uniqueness of pony life.