Yes, my 1st guess would be that a User Made Item has over written the Cougar (Mountain Lion) in your game. Unfortuantally, the "best" way to deal with it is to uninstall all your User Items (unless you can remember which ones were there when you still had a Cougar available in your game) and reinstall them a few at a time, untill you find the guilty download. (There really shouldn't be any reason to have to re-install you game, unless you think it's easier or can't seem to find the "bad" download.)
This is why it's always best (although not always easy for us download-addicts!) to install only a few User Things at a time, and check for errors, as it avoids these problems from the get-go. Well, for the most part anyway! I just did a clean re-install of ZTCC in preparation for my jumping onto the "Designing Things For ZT1 Bandwagon", and my Llama will not show it's name. He's available for adoption and works just spiffy in the game, but just not named anything in the adoption panel. I checked out his AI file, and found that his "code number" was listed as 5301 instead of 5502 as Pixigger's List says he should be. (If memory serves, 5301 is actually a research/conservation code.) Changing his number made him not show up at all in game, so I switched it back and just left him nameless. It's not a problem for me, since I never use the "default" names anyway in game play (I'm one of those nuts who actually names each and every animal in my game), it's just just kind odd.
Just out of curiosity, does your Cougar show up on Freeform Maps at all?
Regarding the "Vanishing Walrus" that wildmutt had, I had a similaur thing happen (just once) out of the blue with Kong, my male Gorilla. I was getting messages about how Koko (his mate) was upset about her lack of a friend, and sure enough Kong was nowhere to be seen. Just to add to the mystery, I still had an old message (when Kong and Koko were first purchased) about how Kong was upset with his (unfinished) exhibit. I clicked on this old message, and *POOF* there was Kong! I have no idea where he went, but he seemed none the worst for wear. Very strange indeed!
-ZW