Alicorn is a portmanteau: Ali- is a common English prefix that comes from the latin "ala", wing. -Corn comes strait of Latin - "cornus", horn. Alicorn literally means wing-horn. If anything, the alchemists were using the word wrong.
And really, emphasis on the were using it. There aren't any alchemists about, so the word has effectively entered the semantic Public Domain and can be taken up and changed by anyone who comes across it.