Ovines and Primates are far too genetically incompatible to reproduce. You can't even get successful breedings between species in the same genus most of the time, much less in entirely different segments of the phylogenetic tree. Even IF a human sperm somehow managed to get to and penetrate a sheep's egg (already almost impossible), the difference in the number of chromosomes alone would likely prevent an actual zygote from forming and it certainly would cause so many developmental problems that the embryo would be terminated long before lambing. certainly there would be far more wrong with the lamb than a head.

It is simply a mutation, either genetically or through neonatal environment. And that is all.