I honestly don't know what I would have as mounts for Shadar-Kai. Shadow Mastiffs seem more like Animal Companions ala having a Wolf. Perhaps a Skeletal Horse mount to follow type/theme with the Shadowfell's Necrotic aspect.
I'll admit that I do enjoy the look of this. Would also be the mount of choice for a Duhallan PC if it was an option in 5E. which I still want.
To compliment the Hill and Mountain Dwarves having Griffin mounts for their elite warriors, Elite Duergar warriors will ride Deep Crows. They act as the nightguard for the Huneldur Empire (a major dwarfish kingdom).
While straight giant horsefly mounts are pretty fantastic, having PCs hear about the giant horsefly riding duergar and then finding when they actually encounter them that they are hippocampi style half horse monsters could be fun too (horsefly wings, eyes, and mandibles would work for a Baalzebulian themed pegasus).
I had my players stumble into a world (Planescape campaign) where there were tree dwelling halflings that rode giant spiders. Cause that seemed like an awesome animal to domesticate if you are a short tree dwelling race.