It's not elliptical, really, and in any case needs some handwork at the
end to blend it, but you certainly could get "close" with 3-center
turning, the same way many "oval" things are turned on regular lathes.
You tun on center to the profile you want the "fat part" (long axis of
the oval/ellipse) to be.
You go offcenter and turn one side down to (or as close as you want it
to) the centerline. You turn the other side to match. You're a lot
closer to where you want to be when you pull out the inevitable
spokeshave, and the evitable or not rasps, files, and sandpaper.
Try some test pieces - there's a bit of a trick seeing/feeling when
you've gotten the sides where you want them.
A lot more accessible to most mere mortals than anything that will cut a
true ellipse leg shape.
Or the really easy (but slow) way - turn the leg round out of green
wood, and wait for it to dry. Differential shrinkage will get you quite
a ways along with this approach.