Film actor, writer and director Woody Allen had his character “Clifford Stern” speak this line in the film Crimes and Misdemeanors (1989):
 
“My love life is terrible. The last time I was inside a woman was when I visited the Statue of Liberty.”
 
The joke is seemingly much older—people have been visiting the Statue of Liberty since 1886—but an earlier version hasn’t been found in print. The inside of the Statue of Liberty has been closed during renovations and after the terrorists attacks of September 11, 2001.
 
 
Wikipedia: Statue of Liberty
The Statue of Liberty (Liberty Enlightening the World; French: La Liberté éclairant le monde) is a colossal neoclassical sculpture on Liberty Island in New York Harbor, designed by Frédéric Bartholdi and dedicated on October 28, 1886. The statue, a gift to the United States from the people of France, is of a robed female figure representing Libertas, the Roman goddess of freedom, who bears a torch and a tabula ansata (a tablet evoking the law) upon which is inscribed the date of the American Declaration of Independence, July 4, 1776. A broken chain lies at her feet. The statue is an icon of freedom and of the United States: a welcoming signal to immigrants arriving from abroad.
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When the structure is open, visitors intending to enter the statue’s base and pedestal must obtain a complimentary museum/pedestal ticket along with their ferry ticket. Those wishing to climb the staircase within the statue to the crown purchase a special ticket, which may be reserved up to a year in advance. A total of 240 people per day are permitted to ascend: ten per group, three groups per hour. Climbers may bring only medication and cameras—lockers are provided for other items—and must undergo a second security screening.
 
Wikiquote: Crimes and Misdemeanors
Crimes and Misdemeanors is a 1989 film about an opthamologist’s mistress who threatens to reveal their affair to his wife, while a married documentary filmmaker is infatuated by another woman.
Written and directed by Woody Allen.
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Clifford Stern
My love life is terrible. The last time I was inside a woman was when I visited the Statue of Liberty.
 
The Internet Movie Database
Memorable quotes for
Crimes and Misdemeanors (1989)
Cliff Stern: Last time I was inside a woman was when I visited the Statue of Liberty.
 
13 October 1989, Marietta (GA) Journal,  “Woody Allen does it again with ‘Crimes’” by Jim Marion, Attractions, pg. 8F, col. 2:
Their relationship has been platonic for over a year. As Clifford puts it, “The last time I was inside a woman I was in the Statue of Liberty.”
 
Google Books
January 1990, Spy magazine, pg. 99, col. 1:
Travers, at least, got the Statue of Liberty one-liner right in his review of Crimes and Misdemeanors (“The last time I was inside a woman”— come on, you’ve all seen in by now—“was when I visited the Statue of Liberty”).