Where did this go?
The recorded provenance of this statue is rather limited, beginning only in 1893 in a private Paris collection. Since then, the completed statue does not seem to have gone much of anywhere until it left French collections in 1938 and was brought to New York.
However, the relic itself has most likely travelled a lot in its life. It originates from Egypt, inside St. Macarius' body. When he died, his body was taken from his grave by the residents of his village of Shabsheer and put into a grand church in his honor. Eventually the body was confiscated by Pope Michael V and returned to the Nitrian Desert before he split the body up to be made into many body part relics. Through the centuries, it could have fallen into a collection or the private possession of anyone in any of the Crusading areas around the Holy Land. From there, it was likely taken by a Crusader from its collection, wrapped in a local piece of fine cloth, and taken back to France where it was likely sold or donated to a church or clergyman in exchange for holy salvation.