I used to do a lot of work in ceramic sculpture, and that is honestly what I thought this was at first glance. It looks exactly like clay does when it reaches its fully dry state, before being fired in a kiln. We even call that state 'bone dry'. There's a lot of dust created during this phase and it can often flake off onto the surface which the piece is resting on. Here's an example found online of a bone-dry piece of pottery, with residual dust, dried bits of clay, and flakes on the board which it is resting on.Now, plaster can look the same way. When I look at the creature's skin, it looks like someone could easily have taken paper or cloth of some sort and painted it with a very wet, liquid clay or plaster called 'slip' by ceramic artists, placing it over an armature or form to create the appearance of wrinkled, desiccated skin. For the bones and armatures, I think they painted over something darker, perhaps metal? There are areas on the toes where you can see the thin outer "skin" flaking off, and see the dark material underneath... Certainly not bone, unless aliens have dark bones. This would be really simple to make, a difficulty on par with a middle school art class's papier-mâché project.