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The Horn of Jurgen Windcaller is actually a Dragonhorn given to him by Paarthurnax
As dragonhorns are established as being warhorns carved out of Dragons' horns, and the Horn of Ja'darri was also made from one of the two horns of a dragon's skull, it certainly seems likely Jurgen's Horn is a dragonhorn.
Further evidence is that Paarthurnax is missing one of his horns. I think in the skyrim chapter we're going to see both the Horn and Paarthurnax in some way, since its probably the inspiration for Dragonhorns and will probably have some retroactive continuity to explain that