Very plausible.  Changeling nymphs have an instinctive knowledge of how to change their form, though many don’t do so until they’ve matured to a point comparable to a young colt.  Outcast ponies would be more likely to accept a changeling than a typical pony, and so travelers or hermits would work well with taking in an orphaned changeling.

Though obedience to a Queen tends to be ingrained in a changeling from birth, if their natural Queen is killed that connection is broken, and a surrogate connection can and generally is established with the closest being to the orphaned nymph.