Well, I was giving it some thought and I modified Brunnhilde. As far as the myths are concerned there is more than one Valkyrie so I could use her with the others. It's just as I've made fun of magic for all creatures looking alike in artwork when odds are they wouldn't the same holds true for valkyries.
I don't know what set let alone if it was marvel or DC but I used another figure to modifiy Brunnhilde. She's now mounted on a pegasus. Here's some pics of the modification and I'm quite pleased with the way it turned out.