I use "Конь в польто" as a joke. When I come back home and ring the doorbell, my parents asks: "Кто?" ("Who is there?"). I answer sometimes: "Конь в польто и гражданин никто". Or if someone asks in the same situation: "Кто там?": - Сто грамм. - Приходите вместе нальём двести. "Селёдка под шубой" is a salad.

Конь в пальто - it is "nobody" :) This is a typical reply when you do not want to answer who was it, or who did it :) It is not a friendly answer either, so do not use it often when you will speak with russians. Cеледка под шубой - it is a salad name, very yummy!!! You can google the image and you will see herring on the bottom of the dish and a lot of layers of cooked vegetables on top (like a coat, herring in the coat, that's what it is).

Slang? Not really. First is more an idiom, second is a salad name :)