I think it's some sort of turbine...and I base that on nothing but the shape.
Whatever it is, it is either secret or sensitive to the elements...
I don't think that it is a UFO.

If its not anything important then why the police escort? Industrial equipment doesnt need to be covered over, especially with an expensive custom made tarp.

A military escort would arouse more curiosity so my guess is that this some very important equipment. I'd care to bet there was a chopper flying cover somewhere nearby.

I think it maybe a hovercraft. The shape is generally correct. Roundish with thrusters to the rear.

No flying saucer I believe but still interesting.

could be a turbine for a wind tunnel, i have seen those before with custom tarps

Any hydroelectric dam nearby ? Could be a turbine for a power generating hydro group. The size is right and it would be covered to avoid any abrasion from sand or rocks on the road.

escrot vehicles are MANDATORY for loads above a certain mass and dimensions .