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 on boats, possibly in a Venice-like setting.
Filly types
Reindeer
The wedding carriages are drawn by reindeer (e.g. seen in the Filly Winter Wedding playset). A reindeer character named "Remy" was a magazine exclusive and featured in the magazine's comic.