Sergey Stepanov is a Moldovan saxophonist whose performances have widely been described as epic. Hence the name, Epic Sax Guy. He's a bit of a Eurovision mainstay, but because this is the internet, he's popping up in a lot of other places as well. Just recently, he's popped up in Dark Souls.
Lordran might not seem like the best environment for a man to play saxophone, but the Epic Sax Guy is an epic player. Dark Souls is an epic game. So, you see, it does make a little bit of sense.
Sax Souls is the work of modder Abject, and (rather controversially) it doesn't just add sax. It also adds guitar and keytar. These are wielded like weapons: the sax is a reskinned Channeler's Trident, the keytar a Knight Shield, and the guitar a Great Club.
But it's the sax that matters most, and the epic guy who plays it. Check out the video below, and the mod here.