Piece of wood+drawknife+spokeshave=eliptical leg.

At some point carving it by hand is the cheaper way to go. Of course its a
little difficult to make a bead or cove using only a drawknife, but your
point is well taken nonetheless.

Besides carving...

a person could also fabricate this from gluing up multiple sections of split
turnings...

or use a copy lathe like they do for oval axe and hammer handles...

or program a CNC lathe...

or turn a hollow tube and steam bend into an oval by squishing it in the
middle...

all sorts of ways! Dan