I would say they either come from the Imperial Engineering College (at Nuln, Dragon... magic is in Altdorf.

) or from the dwarves.
After all, the College of Engineers has made steam-tanks, so why not a mechanical man? For stats, I would make them similar to humans -- neutral -- but the drawback to their plague and poison immunity would be that healing flat-out doesn't work on them. They don't have an Aethyric presence, so magic just doesn't work.
Given the usual rate of healing in Warhammer, though, you might be able to repair a Warforged faster than heal naturally!
If you want to go even farther down the machine route, you might make various parts for them -- switch out to THIS arm and your Ballistics skill drops by 10%, but your strength goes up by the same. Or a different set of legs that give +1M downhill (rollerskates!)
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Going in completely the opposite direction (and still agreeing with Dragonbait!) is the possibility of the Golden Order -- the Wind of
Chamon. They're the master alchemists and perform something they call "Alchemical Thaumaturgy" amongst other things.
One of their big calling cards is turning big chunks of their bodies into metal. Maybe some of the grand masters have been doing experiements with *direct transfer* and moving (for example) the mortally wounded into metal bodies? 1st career warforged would serve as one of these 'unfortunate volunteers' who would have otherwise died. Might not even remember their old life and now they're turned loose to see how well they do in the world.
And as a sidenote... that explanation gives a nice thematic link between your new Warforged and the Imperial Dreadnoughts of Warhammer 40k...