Shanks' pony means one's legs, used as a means of transport.
Shanks' (or shanks's) mare (or nag or pony) derives from the name of the lower part of the leg between the knee and ankle - the shank, nowadays more often known as the shin-bone or tibia. This was alluded to in the early form of this term - shank's nag. This originated in Scotland in the 18th century. There are several early citations in Scottish literature, as here in Robert Fergusson's Poems on Various Subjects, 1774
"He took shanks-naig, but fient may care."
When it crossed the Atlantic, the expression migrated into 'shank's mare', which remains the common form in the USA. It was first referred to there in the 1860s. This rather unfortunate prediction was made in the Iowa newspaper The Dubuque Daily Herald in May 1869:
"A public exhibition of the velocipede [a predecessor of the bicycle] was given on the streets last evening by Mr. Clark, who managed the vehicle with considerable skill... They are a toy, and will never come into general use in competition with Shank's mare."
The slang term "Shanks Pony" Means To Walk There. Your shanks are the parts of your legs between your knees and your ankles.
Shanks Pony Is An Expression Which Means Walk
Shanks pony, horses, ships, liters,
Shanks pony, or othewise put on foot.
Horses and feet - Shanks's pony!!!
Shanks pony, or othewise put on foot.
Trains and boats and planes and cars and buses and Shanks's Pony.
The term pony is defined by the animal's height so a pony can come from anywhere. Pony breeds have been developed in many different countries. Examples are the Shetland Pony which is named after Shetland Island in Scotland, the Connemara is from Ireland, the POA (Pony of the Americas) was developed in the USA.
Depending on where you are when you start your choices range from train. car, plane, pushbike, shanks pony. camel train ship or boat.
Shanks are another term for the chickens legs (the visible part, that has scales on it).
Newfoundland ponies come from Newfoundland Canada. They were created from a mix of British breeds including the Exmoor pony, Galloway pony, Welsh pony, and New Forest pony.
"Ride the pink pony" is a slang term for sexual intercourse.