I don't know that differential geometry ever made anything simple, so I don't know if there is any obvious fruit to be had. But there might be some, weird, unexpected fruit in the back; for instance, there exists a formulation of thermodynamics in terms of differential geometry: https://ui.adsabs.harvard.edu/#abs/arXiv:physics%2F0604164
As far as I know, a good differential-geometric understanding of nonequilibrium thermodynamics still hasn't been achieved.
The central issue is understanding how changes in control parameters (for instance concentrations of catalysts in a chemical system, or local fields in a spin system) affect the evolution of the probability distribution over states. Some work has been done in close to steady state (for instance [1,2,3]) but it's far from resolved.
This has some nice applications - designing efficient protocols for microscale devices, for instance.
My grad work had no connection to data/stats and I have not bumped into any low hanging fruit where Riemannian geometry might be the answer!