A slightly fuller quote is the following:
Peggy (speaking to Don): Did you park your white horse outside? Spare me the suspense and tell me what your save-the-day plan is.
A man riding a white horse is a trope/myth/metaphor/expression for "the perfect man", such as "Prince Charming", "A Knight in Shining Armor", or "My Hero".
"Did you park your white horse outside?" doesn't have enough context to determine if it's flirtatious, ironic, pessimistic, optimistic, sarcastic, or even semi-literal -- a person who owns a white horse! It's difficult to tell exactly what this means unless one knows the characters, their history, etc (which I do not).
The writer is continuing to build her character and her relationship to Don. Peggy is asking Don how he's going to handle a problem, but she's using metaphorical language that they both understand. However, "spare me the suspense" and "save-the-day plan" are at the meta-level of identifying-the-trope. She is expressing her attitude about both him and the situation in a creative manner.
So she's the type of person (character) that can get away with referring to him in a metaphorically teasing manner - like a back-handed compliment. She might see him as someone who has saved-the-day before, but in any case, she's calling him out on his attitude or her belief about his attitude. But this can also signal a close relationship because she is free to say this. So while it's mild sarcasm, there may also be some bonding, friendship, or romantic undertones.