Our Lady on Wikipedia

Here's what the great font of knowledge has to say on the subject:

A bathtub madonna, bathtub Mary, or bathtub shrine is an artificial grotto containing a statue of the Blessed Virgin Mary, constructed by upending an old bathtub and burying one end. It is a form of yard shrine (a shrine built in one's yard). The grotto is sometimes embellished with brickwork or stonework, and with flowerbeds and small figures of animals meant to demonstrate Mary's affinity with God's creation. The inside of the tub is frequently painted a light blue color. The term is also used to refer to other yard shrines which are not constructed from actual bathtubs. Bathtub madonnas are most frequently placed in the front yards of homes of Roman Catholics, especially by Catholics of German heritage. Although statues of other saints or of Jesus may be enshrined, the usual subject is Mary. Bathtub madonnas greatly resemble the side altars (Lady chapels) found in some Catholic churches.
Over time, distinguishing characteristics of these shrines can become blurred. Instances inevitably occur of shrines whose statue is missing (creating a bathtub with no Mary) and conversely of grottoes being removed, leaving a statue in place.
Locations
Bathtub Marys in actual bathtubs are frequently found in the upper Mississippi River valley, including eastern Iowa, western Wisconsin, and Minnesota, and are an important part of the visual folk culture of Roman Catholics in that region. A noteworthy concentration of bathtub madonnas occurs in Stearns County, Minnesota, an area heavily settled by German Catholics in the 19th century.
Google and magazine database searches reveal instances of bathtub shrines among other Catholic ethnic groups in other locations, e.g., Mexican Americans in Milwaukee, Italian Americans in Michigan, and Hispanic Americans in New Mexico.
In the northeastern United States, smaller shrines that do not make use of actual bathtubs are more common. Somerville, Massachusetts, a city which has traditionally had sizable Italian, Irish and Portuguese/Brazilian populations, has a very large number of smaller shrines; well over 200 Catholic yard shrines in a town of about four square miles, with only one example using an actual bathtub.
Bathtub madonnas are also a common sight in north-central Kentucky, an area that has historically been predominately Catholic. A drive down country roads in Nelson, Marion, and Washington counties will provide ample sightings of these small shrines. Bathtub shrines can also be seen in Québec.

[edit] References
"For the Love of Mary — Yard Shrines Honoring Blessed Virgin Have Devoted Following," St. Cloud Visitor (Newspaper of the Roman Catholic Diocese of St. Cloud, Minnesota), August 16, 2001.
Miyazaki, Kevin J., "Our Town" (feature on bathtub shrines among Mexican immigrants), Milwaukee Magazine, Vol. 28, No. 1, January 2003, p. 20.
Perera, Srianthi, "Grave Images Illuminate 150-year Tradition," The Arizona Republic, Vol. 116, No. 339, April 22, 2006, p. CR-18.


In my internet searches, I have also found that a lady at the University of Wisconsin-Milwaukee wrote a thesis on bathtub shrines in 1994. I'm trying to get access to it via interlibrary loan, so we'll see what happens with that.