It was explained in Spaceballs

Yes it is, he said it: “You Maniacs! You blew it up! Ah, damn you! God damn you all to hell!” Obviously someone on Earth put a huge bomb under the statute of Liberty and blew it across the cosmos.

Jeez, doesn’t anyone here care about spoilers??

CinemaSins wants to know.

I might suggest a large firecracker style acme rocket…

I always assumed it got sucked into a wormhole.