If you had a chiruwa style with a full tang, I'd go for it, provided you have some way to hold the knife securely and drill a straight hole. Drill press and a couple of clamps should do it. You might even be able to hit the tang on a regular model, since it goes all the way to the butt cap.
Horn is pretty tough stuff. If you treat it regularly (hooflex, etc.) so it's not brittle, I'd think it would be fine, provided there are no serious existing cracks or voids.
As far as alternatives, rigging something around the handle would also be pretty functional. A Turk's head between the handle ridge and butt should be pretty solid, as would duct tape
Another possibilty, slightly crazy, would be attaching a leash in front of your hand, at the base of the blade. You could loop it through the cho (works best with the closed-style cho), or drill a small hole in the back of the blade. There's been previous threads about blades with radically deep chos, and how strong they are. The consensus was that there was so much steel it shouldn't be a problem. My opinion is same for a small hole. Having the lanyard attach in front of your hand would also put the hanging point closer to the center of balance - which should be less dangerous if you lose your grip because you wouldn't have 2 feet of knive + 6 inches of lanyard whipping around wildly.
(Keep in mind that the above is speculative. Wait for the people with real experience to come tell me I'm an idiot and give you good advice.
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