Same reason they have Caligula's obelisk at the Vatican
"There are few surviving sources about the reign of Caligula, though he is described as a noble and moderate emperor during the first six months of his rule. After this, the sources focus upon his cruelty, sadism, extravagance, and sexual perversion, presenting him as an insane tyrant. While the reliability of these sources is questionable, it is known that during his brief reign, Caligula worked to increase the unconstrained personal power of the emperor, as opposed to countervailing powers within the principate."