Perhaps PhD math programs don't hold your hand through teaching data science, but it isn't a horrible way of preparing you for a (first) job in data. Color me impressed when a history major picks up data science!
I mean, surely, you need a good background in mathematics to model and extract meaningful information from the data, so I don't see how it is crazy to do that with a PhD in mathematics ...
Back then it was virtulay all Pure maths with the computing side being shall we say Antique - most of my course mates where working at Tier 1 RnD workng at the bleeding edge, my employer hired the first non academic knowledge engineer in the UK
They have a lot more experience with real-world data and a lot more knowledge about what statistical techniques and assumptions correctly apply in real situations - quantitatively and qualitatively. You simply don't get this knowledge and experience from a maths-led statistics course.
I would be happy to recommend you a history major.
One of the best in my class was a philosophy major.