The Colossus of the Naxians was a giant statue of the god Apollo located outside the Grand Temple of Apollo within the Sanctuary of Apollo in Delos, Greece.
As its name implies, the statue was made and erected by Naxians..
During the Peloponnesian War, the monument was visited by the Spartan misthios Kassandra.
Behind the scenes
On Delos' 'sister island', Mykonos, was located the counterpart to this monument: Statue of Artemis Agrotera.
This statue is simply labeled as Statue of Apollo in-game, with 'Colossus of the Naxians' provided by the Historical Locations-tidbit.
Unlike the real statue that was made of Naxian marble, the statue in Assassin's Creed: Odyssey appears to be made of bronze.