No I mean flying Centaur Knights. Centaurs with wings-no PCs can't be them I am thinking for NPCs.
Well it should work. You can either make a Mounted Knight trait or something and apply it to some NPCs and just use what works from the Mounted Combatant feat, or use as is.
It could have interesting effects having an intelligent creature as a mount. Might be funny to have a singed Winged Centaur arguing with his cowering Knight. Or a Centaur is enraged after his Knight threw himself in front of a Lightning Bolt to save him.