(It came from this book, in fact, in its original printing.)
In the course of a retelling of the story about the building of Asgard's wall, the author informed his readers that the giant building the wall was doing so with the help of a mare, and that, in order to distract the mare, Loki turned himself into a stallion, and that the other horse gave birth to Loki's son Sleipnir.
Because Loki can be a horse, sure, no big, but GOD FORBID Loki should be a woman, or (horrors!) give birth. We have got to protect Loki's precious masculinity, am I right?
It's funny because I feel like Padraic Colum is going out of his way to "protect" Loki from the accusation of being unmanly, which is basically the Aesir's favorite accusation against Loki in the mythology. 'Cause there's no worse insult than being called female.
Ha ha ha ha fuck you.