It's both a consonant and vowel sound depending on the context.
"Y" where it represents vowel sounds - "Dry" "Myth" "Pretty"
"Y" where it represents consonant sounds - "Canyon" "Yams"
"Payd" "Boi" "Mith" "Simbol" "Dinamyte" - You can probably figure out what these words are. Whereas you can't seem to do that with consonant Y words.
Sorry for giving an unclear response. The /j/ I referred to is a symbol used in international phonetic alphabet which represents the initial sound for words such as "you", "use" and "yes". The sound /j/ is an consonant so the article before it is an "a" instead of an "an". Such kinds of apparently misleading symbols can also be found in words such as "one" which actually starts with a consonant /w/.
I don't think the English translation is correct. The "rules" for using the definite article THE are different in English and Italian. I don't think in Italian the sentence refers to a particular horse and thus the more appropriate English translation should not use the article .