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A caballo means "on horseback" in Spanish, and when this expression is used to describe food, it means you'll find something good (most often a fried egg) served on top of something else, like fried egg on top of a steak (bistec a caballo).
Pizza a caballo is a slice of regular pizza (usually thick crust plain mozzarella pizza) topped with a thin slice of fainá, a garbanzo flatbread popular in Uruguay and Argentina. It sounds unusual but is quite delicious, kind of like a pizza sandwich.