Well looks like I wrong. Not even 15 minutes.
And I was gonna say, even if the Chaos Space Mareine is a Pegasus, 1, you're not gonna go flying in Terminator Armor anytime soon, 2 it'll get visually cluttered. Also 3, all Space Mareines are male. I would say that anything is possible with Chaos, and this would be doubly true if you were asking for a Celestia's Children Mareine, but the Night Lords hate and shun Chaos. Ah, who am I kidding? Regardless, if they're wearing a helmet you'd never be able to tell.