The short answer is: I don't know.
Gnuplot is only installing files where the local configuration tells it
to. Apparently your local configuration is telling it to install into
a strange directory.
For what it's worth, I have this same problem with regard to the
gnuplot's Emacs lisp files. In order to get gnuplot to install without
error, I must ./configure --without-lisp-files
Otherwise the install fails because in fact I have no Emacs directories
since I don't have Emacs installed. Apparently the local configuration
knows where the Emacs files *would* go, if there were any, and tells
the gnuplot autoconfigure script to put the gnuplot lisp template in
the same place.
It would be nice if someone could figure out how to fix both of these
problems, but I've been reporting the Emacs case for several years now
and no one has ever offered me a solution.