I'm finding myself oddly informed in the taking of pictures of statues, so I'll toss in some comments.
First off, keep in mind when photographing a statue that all you are doing is making art from someone else's art. This practice can very easily result in an 'inventory shot', where really all you've done is capture an image of the art, but done no art yourself. I don't think you've quite done that here, but you've not added much to this. When shooting statues and stuff,
I like to pull out the specific details that make that particular piece special or interesting... or I try zoom in on the face to really bring out the emotion, or I try to use environmental elements to amplify emotions that are there... or sometimes even deliberately choose elements that confuse the emotion of the piece.
To some degree, I think you have the trappings of some of that here... moody sky, morose-looking statue, etc. However, I think there is too much of the piece in the shot and it confuses the issue a bit. (personal opinion, mind you)
Also... some statues just don't make the best shots IMO. The statues that are super smooth and lack any real flaws can sometimes be pretty dull. Not always, but sometimes.
Finally, in this case you just didn't expose her properly... some folks did salvage some detail for you (way more than I would have expected they could have, as someone else commented on), but you still would be wanting for more. Keep in mind, too that a nice off-camera fill flash would do wonders here as it would brighten up the subject and deepen the sky.
I have some examples on my website if you're interested (under the other category). Oh and the VERY first one on my site has a sky similar to the one you had, to give you an example. I'd post 'em here but I don't want to hijack your thread.
Good luck with this. It's been my new fascination lately.
