The first time I saw it, I was jumped by a legendary veteran raider. He had quite a few levels on me and by the time the fight was over I'd lost sight of the statue. Add to that the fact that it was the middle of a rad storm and all I wanted to do was find Somerville Place and then get out of the storm.
The second time I was there I took the time to look a little more closely. The raider apparently is a fixture: he camps by the base of the statue, high as a kite on Day Tripper and spends his days slowly altering (or perhaps mutilating) the statue according to conform to some deranged inner vision. He has an array of tools laid out around the base ranging from hammer to blowtorch. In some places the status is reduced to just the metal framework; in others such as the head it has been altered strangely. The head, for example, has been chopped apart and rearranged so as to suggest a triple face. One hand reaches up high, the other is at waist height and holds a chem box with two shots of Psycho.
Given the drugs use, and the demented nature of the activity, I feel there is no doubt: the raider is building a shrine to Sheogorath.
All right, I know. A lot of you are getting ready to post and tell me that TES and Fallout are separate worlds, that the daedra do not exist in Fallout, etc, etc. And you're quite correct of course. There is no Sheogorath in this world and activating the statue gives no quest. And yes, I did try. (Also the chem box should have held a cabbage, yarn and a gem of some sort - but that's by the by). Still, I remain convinced that this is the vision the artist was trying to realise.
Let's call it an Easter egg. It's wonderful in any event