During the Grand Campaign, occupy one of the dwarves/Greenskin cities next to water. In the economy tab is a Dwarf Warf. Build that and upgrade two times, until it is a Dwarven Shipyard. This will also require the player to upgrade the city two times before upgrading the warf is possible.
Cities with this possibility are Barak Varr and the Dwarves in the north (near the Varg).