Undoubtedly there was once a pathetic story about a poor man who, painfully, saved enough money to make a down payment on a horse that he greatly desired to help him till his land.
The sad part being that the horse died long before the buyer had made enough to pay the remainder of his debt, demanded by the seller.
Hence the expression, known for two hundred years, “paying for a dead horse.”
But alas, the story is now entirely hypothetical. No one knows what the original tale may have been.