Killing Goats (Sheep?) in Undead Nightmare DLC of RDR1 will send them to sky.
Enter the Undead Nightmare game and then go around the areas in Mexico to find a group of black goats called Horned Goat.
If you shoot their head and kill them, one of the four things happens to them.
Just Dead: Like any other animal they just sleep dead and you can skin them.
Turn into Bat: They fly up and turn into a Bat which you can kill and skin.
Fly into Space: They fly up to sky and don't come back.
Fly into Sky and Comeback: They fly up to sky and come back to the ground and stay dead.
Other than guesses for just a bug, there is theory that says, Horned Goats are cult leaders shapeshifting themselves into goats and then bats to monitor around the world.
my theory is:
Its some wacky shit and its on purpose.
they drop nothing (even if they did dropped something its completely useless since you can't sell anything in undead nightmare)