By replacing the internal energy with the free energy, as coordinates in a “space of observables”, we slightly modify (the known three) non-holonomic geometrizations from Udriste’s et al. work. The coefficients of the curvature tensor field, of the Ricci tensor field, and of the scalar curvature function still remain rational functions. In addition, we define and study a new holonomic Riemannian geometric model associated, in a canonical way, to the Gibbs–Helmholtz equation from Classical Thermodynamics. Using a specific coordinate system, we define a parameterized hypersurface in R4 as the “graph” of the entropy function. The main geometric invariants of this hypersurface are determined and some of their properties are derived. Using this geometrization, we characterize the equivalence between the Gibbs–Helmholtz entropy and the Boltzmann–Gibbs–Shannon, Tsallis, and Kaniadakis entropies, respectively, by means of three stochastic integral equations. We prove that some specific (infinite) families of normal probability distributions are solutions for these equations. This particular case offers a glimpse of the more general “equivalence problem” between classical entropy and statistical entropy.