Cowboys ride horses, so it kind of makes sense that Pedro Pony would love cowboys and the old west, as shown in several episodes.
Madame Gazelle has been hinted to be a Daywalking Vampire. This may explain why, in "Sun, Sea & Snow", she was perfectly fine with dipping in an ice-cold ocean.
In the "Pizza! Pizza!" episode, when Peppa and her family make their own pizzas, they use only vegetables as toppings. It's understandable that anthropomorphic pigs wouldn't use meat.
In the space-themed episode, Peppa initially thinks that space is boring, before learning more about it. Perhaps the reason is that she's four years old, and most space-themed fiction aimed at kids around that age is related to going to bed — "Twinkle, Twinkle Little Star", Goodnight Moon, etc. Thus, Peppa might associate space with bedtime, and therefore sleep/inactivity, thus finding it boring.
In Season 7 Episode 21, "Health Check", Doctor Polar Bear says that she, like Peppa, likes spaghetti. Later in Episode 41 of the season, "Families", Penny says that her other mummy cooks spaghetti. In short, Doctor Polar Bear loves her wife's cooking. Aww....
In "The Powercut", Mummy Pig worked on her computer when power went out. How much work did she have to do again because the power went out?
Similarly, in another episode, Peppa tries to do work like Mummy Pig but deletes it.
Hopefully she wrote all of her work in a program that works like Word, in which all of her work is automatically saved.
In the episode "Hospital", Pedro Pony is being treated for a broken leg. In real life, horses with broken legs don't fare so well.
In the episode, "Gym Class", every adult, including the kids, are in all white, and the adults look drone-like in their manner, which may give one the impression that they're in some sort of weird-ass cult... Considering that it's ran by Madame Gazelle, who's implied to be a Daywalking Vampire in a later episode, this just makes it even more creepy and likely.
Most likely the art style made the characters look drone-like to try to portray them looking exhausted from exercising. Given the fact the art style is no stranger from having Unintentional Uncanny Valley appearances, and everyone's dressed in all white as its their exercise wear, most likely in order to keep their clothes from becoming sweaty while exercising.
In "Desert Island", Grandpa Pig, Granddad Dog, and Grampy Rabbit get stuck on a desert island because of Grampy Rabbit's shoddily-built boat sinking. Just before they are rescued by Daddy Dog, Grampy Rabbit says that there has to be something to eat. And then Granddad Dog and Grampy Rabbit start looking at Grandpa Pig, who looks back at Grampy Rabbit in confusion. So, in case you missed it, Granddad Dog and Grampy Rabbit were thinking about eating Grandpa Pig.
In the episode "Pumpkin Party" Suzy says that she's dressed up as a vampire. When Peppa asks what a vampire is, Mummy Sheep answers, "A person who sleeps all day,and is awake all night." This gets creepy when you know the full story is that vampires eat the blood of livestock, like sheep, cows, and pigs.
This could also be from the fact that she probably doesn't know what a vampire is, given the Competence Zone of the show. It could also be, that given the above, vampires are probably an obscure tribe of cannibalists, and she simply doesn't want to disturb the kids at such a young age. If the latter is the case, then it descends into Nightmare Fuel when you think that Peppa and her family might eventually visit them.
This may be somewhat lessened by the fact that non-anthropomorphic animals exist in the show such as parrots and turtles, so it's possible that Madame Gazelle, who is hinted to be a Daywalking Vampire, just feeds off of those rather than other people.
Well, vampires are also said to drink human blood, and humans dress as vampires on Halloween.
In the episode "The Zoo", Furry Confusion comes into play. If the protagonists are animals, does this mean they're visiting their equivalent of a human zoo?
Only some animals in that show are sapient.
In the episode "Once Upon a Time", Peppa and her family arrive at Granny Pig's house, but when they knock on the door, they are greeted by Mr. Wolf who tells them he went there for something to eat, and the Pigs looked worried and believed for a second that he has eaten Granny Pig, like in the fairytale "Little Red Riding Hood".
In the episode "Canal Boat", we a see a polar bear that is not sentient. However, in "Undersea Party", a sentient polar bear named Penny debuts and would become a supporting character. Does this mean some animals might've mutated to become human-like, while others would have remained like they are IRL?
In "The Zoo", Madame Gazelle looks nervous when Mr. Lion thinks she's a gnu. This implies that Sapient Eat Sapient is a thing in the Peppa Pig universe.
