Cavaliere Bernini refers to real-life Italian artist Gian Lorenzo Bernini (1598 - 1680) who was an architect and, more importantly for the context of "The Duchess at Prayer", a masterful baroque sculptor.
Ordering a sculpture from Bernini is a demonstration of the Duke's affluence and power.
Wharton's description of the Duchess's kneeling statue demonstrates her intimate knowledge of Bernini's style, the minute details and the attitude of the sculpture described invoking "Bernini’s erotically charged Ecstasy of Saint Theresa (1645–52), which depicts in marble the swooning saint in a way that marries the sexual and the spiritual."[1]
Some of Bernini's most well-known works include The Rape of Proserpina ca. 1622, Apollo and Daphne ca. 1625, and Ecstasy of Saint Teresa ca. 1652.
[1] Orlando 2017, p. 84