Trackmania (2020) removed the ability to set a custom horn. However there is an easy workaround that will require club access, and will not work in royal.
- Get the horn audio you want. Make sure that it is ogg or wav format, and that it uses mono audio.
- Rename it to horn.ogg or horn.wav
- Place the file in a skin's zip
- Upload the skin to the game from the garage.