I found it under the Golden Gate. There's a little construction area to the east of the stairs, on the ground. Go down the trail and you'll find a small bridge. under the bridge is like a sewage or drainage ditch with 4 clay there.

You can find clay here as well.

I found clay by a pond out in the countryside

The only place I found clay was near the sheep pen far "south" of the city by the little ponds.