2. Space
With the Marvel Cinematic Universe having expanded in to outer-space already, there's a distinct possibility that Ultron could be a form of alien technology. The Avengers movie saw the introduction of alien beings, as the Chitauri invaded Earth, while the Thor movie had already taken us to another realm, so we know that extra-terrestrial life exists in the MCU. We also have the Guardians of the Galaxy movie coming up, which will take the MCU even further in to the cosmos - could Ultron's origin be revealed as that movie pans out? In the comics, Ultron has been a member of the Phalanx in one incarnation - the Phalanx being a species of villainous cybernetic aliens - so it isn't too far-fetched to think that Marvel might take the movie version down that route.