Cow horn can be useful, but like sheep horn, it is hollow for the majority of its length. A twelve-inch long cow horn will still be solid from the tip for two inches or so, and it turns much like buffalo horn. Scottish Highland cow horn offers a little more length than the rest. (I want to add, "I suspect that any good Highlander would boast the same, " but this is a family-friendly forum.
) In any instance with turning horn, prepare yourself for an odor that will drive the unsuspecting right out of the shop.
The thin walls of cow horn can also be "molded" to some degree. Sanded thin, you can put it in boiling water for a hour and - while still hot (wearing leather gloves or your wife's oven mitts if she doesn't catch you) - it can be bent around a form and clamped in place while it cools. It bends easiest lengthwise with the grain of its growth. Whether or not you could gain the small radius of a pen tube is questionable, but some of the work I've seen done by powder horn makers is pretty amazing.