The closest I've been able to find is a claim (without references of any kind) in Gould's The Mismeasure of Man, where the actual question involved a man "walking without his feet touching the ground". Clearly "bicycle" is a better answer for that question than "horse" (because your feet move in a quasi-walking motion when you're riding a bike, but not when you're riding a horse).
The "yelling" part appears to have been invented out of whole cloth. Also, I'm not sure where the notion that Native Americans were unfamiliar with wheeled conveyances in the 1920s came from.