First is the reference to Pygmalion. This is an explicit reference that directly corresponds to the story so it is inappropriate to not know the mythology being reference. I quote here the synopsis from wikipedia:
According to Ovid, after seeing the Propoetides prostituting themselves (more accurately, they denied the divinity of Venus and she thus ‘reduced’ them to prostitution), he was 'not interested in women', but his statue was so fair and realistic that he fell in love with it. In the vertex, Venus (Aphrodite)'s festival day came. For the festival, Pygmalion made offerings to Venus and made a wish. "I sincerely wished the ivory sculpture will be changed to a real woman." However, he couldn’t bring himself to express it. When he returned home, Cupid sent by Venus kissed the ivory sculpture on the hand. At that time, it was changed to a beautiful woman. A ring was put on her finger. It was Cupid’s ring which made love achieved. Venus granted his wish.
The parallels are immediate and obvious, so I won't discuss that much more. What I will say is this: I believe the Marble Lady is a very important symbol in Phantastes, so it is worth meditating upon.
One thing that is really cool about the story is how the body of the Marble Lady is entrapped in a "pale coffin" of alabaster. This strongly emphasizes the artistic role of drawing forth a creation from the shapeless stone. I see this as a parallel to how great artists will have envisioned their creation before creating it.
How then do you draw forth the Marble Lady? A kiss does not reach through the tomb of stone. It is the power of song and music that draws forth his vision of perfection. I think this verse in the song powerfully captures and summarizes what I'm saying:
"Thee the sculptors all pursuing,
Have embodied but their own;
Round their visions, form enduring,
Marble vestments thou hast thrown;
But thyself, in silence winding,
Thou hast kept eternally;
Thee they found not, many finding--
I have found thee: wake for me."
The Marble Lady is the embodiment of the creative ideal. To those who are not artists, this creative ideal is perhaps impossible to explain. But to those who are artists, I don't think any more explanation is necessary as I believe we all understand that subconscious voice or urging drawing us forward to some obscure yet understood end.
That she runs off after being freed is perhaps fitting. Creative exercises (whether that be music, painting, poetry, writing, sculpting, drawing, etc) are so often this pursuit of the ideal that it is almost hard for me to think of what it would mean to actually find, capture and encapsulate that ideal. In fact now that I think about it, it reminds me of God a lot. The pursuit of this ideal is like pursuing the presence of God. It fills the space in your soul with something deeper and inexplicable yet tangible. In some ways I almost think the artistic ideal literally is God (the true embodiment of perfection), but in other ways I think the artistic ideal is just a metaphor or pointer towards God, a sign that guides us to him. To quote from Phantastes again,
"I gazed after her in a kind of despair; found, freed, lost! It seemed useless to follow, yet follow I must."
One other point I might emphasize is that (as you will read later) a lot of this story focuses on the protagonist as a singer in particular, not an artist in general. That's why song plays such an important role, and yet I think it is fully within the author's intention that this creative ideal should be considered a general phenomena, because that is indeed what it is. Song is just one expression of the arts, but the spirit that guides them all is the same (1 Corinthians 12 anyone? Many gifts, but the same spirit).