my guesses:

clouds have water in them and when the pegasi fly through them, their feathers and furr soak up these water particles

and when they zoom around, the water evaporates and leaves a trail

or,

when they stretch their hooves out in front of them when they fly, clouds ball up and form some kind of cloud barrier

and that moves under their bellies and out behind them leaving a smokey cloud trail



or they could just be magical pony-planes :I