Honestly, I have no idea about the location, and whether or not they may have swapped statues at some point to protect one...
The statue in the photograph is obviously not one of the ones currently at the Teatro Massimo though.
For what it's worth, I'm quite convinced that the object on the lion in the OP's photo isn't a woman at all.
It's definitely not a woman similar to the ones at the Teatro Massimo. The one at the Teatro that most closely resembles the OP's photo is the one where the woman is blowing a horn (the other one is on the wrong side of the lion). The woman with a horn has a gown or pad that drapes down the side of the lion. This gown isn't present on the OP's photo. Also, her hips are completely wrong to match his photo.
http://www.flickr.com/photos/goldenhen/1432475345/lightbox/Maybe there's a chance the OP's photo has been reversed?? If so, the second lion statue at would jump out as a possibility... But then, the lion would be facing the wrong direction, the tail is wrong, etc...
http://www.flickr.com/photos/12334578@N02/1431090205/lightbox/It's not one of these two lions.
I'm also noticing other facets of the sculpture that I find interesting (I do have a degree in art, and have a lot of art history under my belt...). For one, the facial rendering and musculature in the OP's lion along with the way the mane is rendered differ enough from the lions at Massimo to convince me it isn't even the same artist, maybe not even from the same region or "school of thought" as the artist who rendered the Massimo lions. I personally don't find the one in the OP's photo as appealing as the lions at Massimo. I think the head looks too big, and the body too short lengthwise.
Also, I'm suspicious of the object on the back of the lion. Why is the soldier being photographed in front of the lion? What was his (or the photographer's) train of thought?? The "goal" was obviously to show the two of them together (both are subjects), so why not show the entire statue? Why leave one of the key facets of the statue out? If there was a woman on the statue, I would think we'd see more of her in the photo. Maybe the photo is cropped.
Maybe it's a duffel bag. Or at least it's not a person's "rump" that we're seeing. Maybe a leg, with the knee at the lower right?