re: Strange object
Neither of these objects is that unusual for a place largely defined by wind erosion, even the "pyramid" shapes.
I'm no geologist, but I'm guessing the "fin" is the result of an isolated protrusion of harder rock (a volcanic plug?) in an area of prevailing winds from a single direction. Either the chunk is actually elongated, or a cylindrical pillar of harder material--the "door" is probably an exposed chunk of it--is protecting softer surrounding material behind it, creating the "fin" shape.
"Devils Tower" on Earth might look like this if it had never seen rain, and the winds had always come from a single direction, wearing down the surrounding plain burying it.
The dunes are from the wind patterns around the object.