Ah, I remember that one time Yugiri had one of the Umas on her Vtuber stream. It reminded me of that one Tae-centric episode from season 2, specifically the part where the cop is on the phone with his superior and nervously says "I am not at the horse track." Between those two incidents, I am now convinced that ZLS and Umamusume take place in the same universe.

Forgot to mention this earlier, but here's the original ref from Pakatube.

The part where Yuugiri sings this exact line from Umapyoi Densetsu on Pakatube