At first glance, this individual appears to be a Knight of the Gilded Order of Marduk, clad in gold riding a great white steed. This is simply an illusion.
Donq is a Kobold who desperately wanted to join the Gilded Order, but was turned down because, simply put, he is a Kobold and thus (at the time) not considered honourable enough to be a Knight, amongst other reasons such as his lack of renown or actual deeds of note and his almost complete lack of combat aptitude. He was not deterred however, and clad in armour cobbled together from bins behind blacksmith shops and riding a donkey with a broken pitchfork as a lance and a modified cooking pot as a helmet, he continued to follow them around. Eventually they took pity on him and gave him a Bracelet of Illusions, which they said was the symbol to make him a member of the Gilded Order, but instead simply makes him look like one from a distance because despite his constant pestering being somewhat annoying they'd rather he not end up dead.
And so "Sir" Donq the Ersatz Knight (thankfully he either doesn't know what "ersatz" means or thinks his being referred to as such is joking sarcasm) travels the lower Duchy of Mor'Koc as an apparent Knight Errant, "righting wrongs and rescuing fair maidens" (which generally means doing random errands for local villagers, usually still in full homemade plate armour.)
Despite his clear mental illness - it is clear he suffers from delusions of grandeur just from talking to him - he is generally harmless and actually quite friendly and despite appearances very intelligent, being extremely knowledgeable about the Knightly Code, the history of the local area and old local myths and legends as well as being able to fluently speak Common with correct syntax (albeit an extremely antiquated form), which is very rare indeed for his race. For these reasons, people usually just humour his delusions as they're generally not that offensive and he's at least a good person at heart who genuinely wants to help people. Just don't let him near any windmills...
He also appears to have a rather impressive knowledge of combat theory. Actually putting that into practice is quite another thing however, but this has not deterred him. Strangely despite his lack of actual skill and his clumsiness he seems to be supernaturally lucky for reasons that nobody can explain.