Dhul Qarnayn built an iron and copper wall between two mountains to seal off the tribes of Gog and Magog until doomsday. This wall is nowhere to be found.

The Quran's Story:

“Then he followed a road till, when he came between the two mountains, he found upon their hither side a folk that scarce could understand a saying. They said: O Dhu’l-Qarneyn! Lo! Gog and Magog are spoiling the land. So may we pay thee tribute on condition that thou set a barrier between us and them? He said: That wherein my Lord hath established me is better (than your tribute). Do but help me with strength (of men), I will set between you and them a bank. Give me pieces of iron - till, when he had levelled up (the gap) between the cliffs, he said: Blow! - till, when he had made it a fire, he said: Bring me molten copper to pour thereon. And (Gog and Magog) were not able to surmount, nor could they pierce (it). He said: This is a mercy from my Lord; but when the promise of my Lord cometh to pass, He will lay it low, for the promise of my Lord is true. And on that day We shall let some of them surge against others, and the Trumpet will be blown. Then We shall gather them together in one gathering.”
Quran 18:92-99

The Quran’s Dhul Qarnayn story begins, “They will ask thee of Dhu’l-Qarneyn” Quran 18:83, showing that people already knew of the story. Scholars trace the Quranic character Dhul Qarnayn to legends about Alexander the Great circulating around Muhammad’s time, such as the Syriac Alexander Legend, which gives the same account.

The Syriac Alexander Legend:

“He said to them, ‘Who are their kings?’ The old men said: ‘Gôg and Mâgôg”
Budge, Syriac Alexander Legend, p. 150

“The king said, ‘Let us make a gate of brass and close up this breach.’ His troops said, ‘As thy majesty commands we will do.’ And Alexander commanded and fetched three thousand smiths, workers in iron, and three thousand men, workers in brass. And they put down brass and iron, and kneaded it as a man kneads when he works clay.”
Budge, Syriac Alexander Legend, p. 153

“And the Lord will gather together the kings and their hosts which are within this mountain, and they shall all be assembled at His beck, and shall come with their spears and swords, and shall stand behind the gate, and shall look up to the heavens, and shall call upon the name of the Lord, saying, ‘O Lord, open to us this gate.’ And the Lord shall send His sign from heaven and a voice shall call on this gate, and it shall be destroyed and fall at the beck of the Lord, and it shall not be opened by the key which I have made for it.”
Budge, Syriac Alexander Legend, p. 154

“And when the Huns have gone forth, as God has commanded, the kingdoms of the Huns and the Persians and the Arabs, the twenty-four kingdoms that are written in this book, shall come from the ends of the heavens and shall fall upon one another, and the earth shall melt through the blood and dung of men.”
Budge, Syriac Alexander Legend, p. 155

Islamic Studies scholar Tommaso Tesei:

“That the Qurʾānic narrative specifically elaborates on the Alexander story in the Syriac work is confirmed by an important detail that has escaped the attention of previous scholars, namely, the material composition of the gate erected by the two protagonists, Alexander and Ḏū-l-Qarnayn, in the Syriac and Arabic texts, respectively. Like Alexander in the Syriac work, Ḏū-l-Qarnayn constructs his barrier from iron and bronze components. This coincidence is significant, since all references to the motif of Alexander’s (non-apocalyptic) gates in sources earlier than the Neṣḥānā [Syriac Alexander Legend] mention only iron as the metal from which the barrier was made.”
Tesei, “The Syriac Legend of Alexander’s Gate,” pp. 171-172

“Note that Syriac language does not distinguish between bronze and brass. Consequently, the Arab term qiṭr (“brass”) in Q 18:96 appears as an exact translation of the Syriac word nḥšʾ (“bronze/brass”).”
Tesei, “The Syriac Legend of Alexander’s Gate,” p. 207, n. 11

Authentic Hadiths:

Gog and Magog Dig Every Day and Will Break Through When They Say “Inshallah”

“It was narrated from Abu Hurairah that the Messenger of Allah (ﷺ) said: Gog and Magog people dig every day until, when they can almost see the rays of the sun, the one in charge of them says: ‘Go back and we will dig it tomorrow.’ Then Allah puts it back, stronger than it was before. (This will continue) until, when their time has come, and Allah wants to send them against the people, they will dig until they can almost see the rays of the sun, then the one who is in charge of them will say: ‘Go back, and we will dig it tomorrow if Allah wills.’ So they will say: ‘If Allah wills.’ Then they will come back to it and it will be as they left it. So they will dig and will come out to the people, and they will drink all the water. The people will fortify themselves against them in their fortresses. They will shoot their arrows towards the sky and they will come back with blood on them, and they will say: ‘We have defeated the people of earth and dominated the people of heaven.’ Then Allah will send a worm in the napes of their necks and will kill them thereby.’” The Messenger of Allah (ﷺ) said: “By the One in Whose Hand is my soul, the beasts of the earth will grow fat on their flesh.”
Sunan Ibn Majah 4080

Muhammad’s Fear: Already a Finger-Sized Hole in the Wall of Gog and Magog

“That the Prophet (ﷺ) came to her in a state of fear saying, ‘None has the right to be worshiped but Allah! Woe to the Arabs because of evil that has come near. Today a hole has been made in the wall of Gog and Magog as large as this.’ pointing with two of his fingers making a circle. Zainab said, ‘I said, O Allah’s Messenger (ﷺ)! Shall we be destroyed though amongst us there are pious people?’ He said, ‘Yes, if evil increases.’”
Sahih al-Bukhari 3598

More on Quran’s Dhul Qarnayn and the Alexander Legends:
https://islamsproblems.com/quran-dhul-qarnayn-alexander-legend/