I would suggest an "Awww... How cute!" option that seems to do nothing (from the hover text).
However it actually spawns a beast unicorn unit that is more mythologically correct than the "princess" version. The were suppose to be serious powerful killers of people - that's the whole reason that the virgin susceptibility was important: it was the only good way of killing one (or maybe, if you were foolish, capturing one). So this beastly unicorn unit would be something like a 9/7 str, 3 move, 1 first strike, 75% withdraw/flee, medic 1+2 promotions, can heal while moving, immune to poison, +1xp per combat (possibly from a free Valor promotion), can attack multiple times per turn, magic resistance promoted, "cannibalize" promoted (it's not really cannibalism since they are unicorns and who they are eating probably isn't) monstrosity. If killed it drops a unicorn horn item that provides immunity to poison. The unicorn would be created on the plot where the event happened in your territory (where it immediately proceeds to kill any unit you have nearby, probably). Now that's a "dark fantasy" result.
If you got lucky and the event happened late enough you could capture the thing, but otherwise you are stuck trying to kill it (and not a virgin maiden to be found when you really need one - although that could be a separate event that happens every few turns if the unicorn is still alive with various possible outcomes like declining her services to get 1 happy in city nearest to the unicorn for 10 turns, or using her with a 33% chance of dead virgin for 1 unhappy in all cities for 10 turns and +2xp and up to +20% healing for the unicorn, 34% to kill the unicorn, and 33% to gain control of the unicorn unit).