This though was built by Ludwig I. which was shortly before that (1825-1848) and according to the link above in response to the (citation link: "embarrassing") "invasion" by Napoleon, in order to fortify/ensure the "germanic identity" of the people that lived there, so that it would not "washed out" by a influx of french identity, thus also the name Walhalla.
At least that's how I understand the (very short) explanation in the above link.