The Fillies of the Filly Wedding toy line come from different places (though they are all paired with a Filly of the same type, as well as sharing initials)! The original set meet together in an unspecified snowy area to get married, whereas those of the Dream Wedding expansion have been shown in the more tropical seaside location of Romancia.
The wedding carriages are drawn by reindeer (e.g. seen in the Filly Winter Wedding playset). A reindeer character named Romy was a magazine exclusive and featured in that magazine's comic.