The brothel can be build on the country overview map top left of Aldlyn after doing the necessary research for it in the laboratory. The construction will be visible even without the research in the next update, so that players know where to find it.
the ability to get it is locked to main story progression, you are given a Mithril pickaxe for free (only thing that can mine it) as for where you can FIND it, I can't remember, there are many mines and that is where I would start looking)
