In order to produce dye, you need to research Growing in the Technology Tree. Then you need to unlock the research before the building will appear in your build menu in the Good Buildings tab. At this point, if you have sufficient coins, supplies and available population, you will be able to construct a dye works. However, you should also check whether you have the boost for dye; which is flower. You can build an unboosted goods building, but a boosted one produces much more per day.