The Mecha Factory appears in Clockwork Factory.
In the top right corner of the map, the Mecha Factory appears to be a part of the background scenery. It's not until wave eight that the factory begins operating. A dwarf is lifted into the factory from a platform on the right, the lights turn on and sparks begin to fly. The result is a fully built MechaDwarf MK.9 emerging, and making its way to the left-hand exit by going in the opposite direction to the rest of the waves.
The making of the MechaDwarf MK.9s cannot be stopped, so treat this like another enemy entry point.
It is advised to build magic towers and barracks near the left exit to stop them.