The taxidermied elephant is an illusion cloaking an ancient Androsphinx named Asclepius. Asclepius is incredibly old. While her parents and her race are native to Great Mbo, her parents were envoys on behalf of the God-King to the Annwyn Empire. She was born in the Annwyn home islands. She was one of the few creatures that survived the collapse and the events leading up to The Recall.
After wandering for many years, she secretly helped found Haven University and then took up residence there, as a lecturer on Annwyn studies. She always wore the form of a human when interacting with the people of Haven Towne, never revealing her true nature. For a time she was active in human society, advising Marcus Madrigal's son and grandson. She was a respected member of the University and instrumental in having the Unknown built as a means to keep alive the memory of her long-lost homeland.
However, after a century or so she became disillusioned with the wizards of University. In a quest for seclusion she gradually wove an illusion of decay and abandonment around the Wing and also set fear spells around the perimeter to keep the wizards away. Legends grew up about the wing being haunted. Eventually it was abandoned by the University.
When Black Alice began her explorations, she quickly penetrated Asclepius' disguises and managed to befriend the Sphinx. It was Asclepius who was finally able to answer Black Alice' questions on the nature of the multiverse and educated her somewhat on the doom slowly befalling the world.
Asclepius has been alone now for two hundred years now, though and grows lonely. She has much knowledge of the nature of reality and also Black Alice's intentions. However, being a Sphinx she only speaks in riddles.