Getting away from the humour, here's a bit of an idea about the process...
The device itself is designed at Apple HQ in Cupertino, CA, which most likely includes initial prototyping of a non working physical device. Pretty much all the details of the design, right down to the selection of components and layout of the internals are done in-house in Cupertino.
Once they have narrowed down the options to a few designs, they likely have them manufactured in small runs at the Foxconn factories in China, allowing them to produce working prototypes from which to choose the final design.
Once the final design is spec'd, Apple looks to its supply chain for the parts, which are made mostly in China, Taiwan, Japan, and Vietnam, but also include Thailand, and the US (The processors for instance are made at a Samsung plant in Texas). All the sourced parts are shipped to Foxconn's factories in China for final assembly of the devices.
From there, the devices are shipped around the world.
I'm sure there are many more steps, but that's the short and curly of it.