I can't say but whenever I hear about something that 'defies' theory [n] I like to take a moment and. Imagine that the anomaly in question was constructed by unimaginably developed beings. Of plasma, computronium and other unmet exotic concepts. Powered by rainbows of gamma radiation from stars coerced into the bellies of super-massive black holes.
Then I tidily put away the thought because I know it is not even falsifiable, I don't bother assigning probabilities like unlikely. But the short moment (following such news) of delight at contemplating exotic entities so foreign, that words like conscious and alive are inapplicable is a healthy pastime I much enjoy.
Well, it is probably natural. But if I was tasked with building a nebula-sized art project, that's what I would do.
Though, I'd also put three planes intersecting the conical surface and showing off the three different conical intersections, then inscribe their equations on a planet orbiting the star at the centre.
This might be a stupid question, but could the Red Square Nebula be considered a candidate? http://en.wikipedia.org/wiki/Red_Square_Nebula