This is something I had not looked into yet so this is something I am just learning today.Lore suggests it was the resources from the entire solar systems other than Earth and our Moon which were used to build the sphere. The classic Dyson Sphere idea is a sphere with a diameter of 1 AU, so that it effectively encompasses the entire orbit of Earth. In Sanctuary, this diameter is much smaller with the sphere a lot closer to the surface of the sun. I don't think the exact size has been confirmed but anticipate a surface area in the trillions of kilometres.
From what materials was it made? Where did this material come from? It would take a lot of material to create an artificial planet.
Lore suggests it was the resources from the entire solar system...