I grew up in the Southwest, and still visit it often. Many trips are taken through the Navajo reservation area. Horsehair pottery is very popular.
I have a lovely Indian Wedding Vase, horsehair, and etched with color. I look at this daily and wonder how to do it with a pen.
If you Google "Horsehair Pottery" you will get all kinds of images and even some how-to's. I believe they fire the pottery, then immediately remove it from the kiln and place the hairs on the pottery, so the hair will adhere to the hot clay.
With pen making, I've considered that since we use finishes, you could turn a 'base' of whatever material you choose, then before applying finish, lay the hairs on the base material covered with ca. You would have a bit of control over the design in this manner. You could do multiple layers as well.
Just my two cents.... it's actually something I've been pondering for weeks. LOL
Google "horsehair pottery" for more ideas.