I've studied wildlife biology for 5 years, and collected data for a Bighorn sheep reintroduction study in Wyoming, and I can honestly say I've never heard of anyone - even in wildlife rehab - owning one. I've seen them in zoos, with rocks to climb, etc., but I can't imagine anyone with the resources to successfully keep one (happy) in captivity. Are you saying you know of one that needs a home? In the wild, they climb and jump among steep rocky cliffs at incredible speeds. One second they're right next to you, and 2 seconds later they're 2 ravines away - a distance that would take a human hours to traverse. We put radio collars on a few - had to dart them from helicopter, land as close as possible, and scale the cliffs to collect data and collar them. NOT EASY! Anyway, why do you ask?
edited to ask another couple questions: #1: How would you get a Bighorn sheep (Ovis canadensis) in Pa.? They live in the Rockies. #2: Are you talking about a domestic sheep with big horns?