In Indiana, the statue the news report references is IC 35-49-1-3:
"Matter" Sec. 3. "Matter" means: (1) any book, magazine, newspaper, or other printed or written material; (2) any picture, drawing, photograph, motion picture, digitized image, or other pictorial representation; (3) any statue or other figure; (4) any recording, transcription, or mechanical, chemical, or electrical reproduction; or (5) any other articles, equipment, machines, or materials.
While that means absolutely nothing and they probably should have linked to the statute that talked about obscenity, we'll let it slide for now. We've got a similar definition here, statute 18-7-101:
(1) "Material" means anything tangible that is capable of being used or adapted to arouse interest, whether through the medium of reading, observation, sound, or in any other manner, but does not include an actual three-dimensional obscene device.
The first thing you'll notice in Colorado's definition is that it has this weird note about three-dimensional obscene devices, but carrying on through the section reveals that dildos and fake vaginas count under the definition, so we'll assume that a snow penis could work.
The kicker comes from statute 18-7-502, which deals with exposure of sexually explicit objects to children. Bad news here:
(5) It shall be unlawful for any person knowingly to exhibit, expose, or display in public at newsstands or any other business or commercial establishment frequented by children or where children are or may be invited as part of the general public: (a) Any picture, photograph, drawing, sculpture, motion picture film, or similar visual representation or image of a person or portion of the human body which depicts sexually explicit nudity, sexual conduct, or sadomasochistic abuse and which is harmful to children; or (b) Any book, pamphlet, magazine, printed matter however reproduced, or sound recording which contains any matter enumerated in paragraph (a) of this subsection (5), or explicit verbal descriptions or narrative accounts of sexual excitement, sexual conduct, or sadomasochistic abuse and which, taken as a whole, is harmful to children.
Now, the problem here lies in the fact that, unless you live in some type of swinger's cul-de-sac somewhere, you're potentially going to be exposing your snow penis to minors. The law states you cannot depict, "sexually explicit nudity, sexual conduct;" which could be taken to mean a penis, or it likely could be argued that a penis is not explicit. Here the law gets tricky and it would likely be a chargeable offense, and could end up being a jury decision.
So the answer? It could go either way. If someone calls the cops and claims you're displaying offensive material to minors, you might end up in court where a jury will decide your future. We do remember a giant six-foot penis on Capitol Hill a couple of years ago that seemed to be erect for at least a week, so you might be clear in that neighborhood, but proceed with caution.
If the cops do show up, make sure you bulk up on your art history and prepare for your potential trial with a few hundred examples of penis sculptures and argue you were creating art, not sexually explicit material. Or just call it a rocket ship. Good luck! Be sure to link any snow penises you make this evening in the comments.