Anyone can freely build (in deep space) the following -
Luxury Space Colony
Space Colony I
Space Colony II
If you want to build any of the other stations you do have to get access to a blueprint.
The link below will tell you which faction types can build what stations.
If you have any more question just let me know.
Edit: For a shipyard you have to get in touch with a manufacturing faction, join them long enough to start construction on the station and then you can leave. If you look around you should be able to find a faction that will let you do it for cheap. If you are part of a faction talk with them and your faction leader may be able to get you a free blueprint.
Edited By: Myrhrai Isalia Rosiir on Year 18 Day 266 10:39