Sea goats came from the first sea goat, Pricus, who was created by the god Chronos, and they could speak and think and were favored by the gods. The legend goes that eventually all the sea goats made their way to up onto land where they became the four-legged goats that we know today, leaving Pricus as the sole sea goat and the figure in Capricorn mythology.
This, naturally, explains why there are no sea goats today.
* abbreviated, from Gods-and-Monsters website.
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