I've filled small critter bites with super glue. Just drop in a little at a time. It will dry surprisingly slowly. The more you put on, the longer it takes to dry. As it dries, it shrinks too, so it makes dimples in the surface, so just go a little at a time and build it up. Then just file/sand it even with the surface of the horn. It will be almost invisible, even to my eyes, which can see the tiniest of discrepancies. The glue will generally take on the color of the surrounding horn, so no "filler" necessary.
For a large chunk, like a big mouse bite (I HATE mice), I don't know, you may have to just file the whole thing out, or glue in a piece of horn to repair. Then you can make yourself a period-looking metal overlay or rawhide wrap or something!
If it's bug/worm holes, you may want to put the horn in the deep freeze for a few days in an effort to kill whatever critters might remain in it. I don't know if it works or not, but have read it somewhere and seems logical.