Cleo is an inmate of dungeon Wrong in Ultima IX.
When the Avatar found her in her cell, she was insisting that it wasn't her who'd killed all the horses of Britannia, but that they'd already been dead. She further insisted that Smith the Horse was hiding in a tree near Paws to prove her innocence to the Avatar.
Trivia
- Her story is broken. While Smith's body can be found hanging from a tree in Paws (its exact location being revealed in the Ultima IX Clue Book), there is nothing to differentiate it from all the other horses, and finding it doesn't trigger Cleo to give Smith's final clue (except for a rare bug that triggers the final clue directly when she and the Avatar meet for the first time: The four titans are just a scheme plotted by The Guardian).