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"What I have in my stories is ethics. Ethics and morality are very different cups of tea. I adhere to a very strict rigor of personal ethics and I demand it of those around me as well."
- Harlan Ellison

Silica Sphere (Dyson sphere)  
  An enclosed environment, excavated on Mars, and then placed into the heavens (it's Phobos)  

Mathematician Freeman Dyson is often considered to be the originator of the idea of enclosing a star with a vast sphere of material to provide living space. He later clarified his thinking, due to the structural problems of a hollow sphere, and described it as a "biosphere" of constructs orbiting a star.

However, many years before Dyson's paper, and some years before Olaf Stapledon, Harl Vincent imagined it, and showed how it could be done.

“They excavated and in the excavation built a huge, hollow sphere of fused silica and other fusible materials of great strength, in which sphere the ancient city of Scarta was incorporated. They provided the sphere with mechanisms and energies that made synthetic food and drink forever available. They had long since ceased tilling the soil and making other efforts to wrest their bodily necessities from the barren wastes surrounding them, so this was no hardship. The sphere contained its own atmosphere-producing apparatus and everything needful for the maintenance of lives that would go on forever so long as ordinary needs were provided and no violence was encountered.

“In addition, there were huge force generators in the sphere and these generators produced energies which lifted the sphere and the inclosed city from the desert and hurled it into the heavens. It took up a position, when its initial velocity had been expended, slightly less than six thousand miles from the center of Mars. And there it has revolved ever since, the satellite you call Phobos in the tongue of the third planet...

Ridge Coler stood staring then. They were in an inclosed court on the roof of a tall, circular edifice. In all directions stretched the broad avenues and varicolored structures of the city of Scarta; in all directions literally, for the city was built upon the inner wall of the enormous hollow globe which was Phobos. Overhead, at a distance of nine miles or more, were other avenues and other buildings; inverted, dangling precariously above them, it seemed.

In the exact center of the sphere was an artificial sun, casting its blue-white light uniformly over the entire city. Below them, and as far as the eyes could follow, the up-curving streets were alive with fast-moving traffic ; two-wheeled vehicles speeding in the center lanes, moving belts at both sides swarming with foot passengers...

“But,” objected Coler, “what of gravity in the city itself? How is it that overhead the pull is opposite in direction?”

“It is an artificial gravity.” Jor Therol took three levitators from a rack and examined their mechanisms as he spoke. “The energies are in the shell which incloses us. In the center of the sphere the attraction is equal in all directions; therefore our artificial sun needs no support.”

Technovelgy from Lost City of Mars, by Harl Vincent.
Published by Astounding Science Fiction in 1934
Additional resources -

Compare this idea to the cylindrical city of space from The Prince of Space (1931) by Jack Williamson.

Other interesting satellites can be found in the brick moon from The Brick Moon (1869) by Edward Everett Hale, the New Moon Casino from One Against the Legion (1939) by Jack Williamson, the asteroid space station from Misfit (1939) by Robert Heinlein, the Venus Equilateral Relay Station from QRM - Interplanetary (1942) by George O. Smith, Wheelchair from Waldo (1942) by Robert Heinlein, the space transfer station from Between Planets (1951) by Robert Heinlein, the Sargasso Asteroid from The Stars My Destination (1956) by Alfred Bester, the tether space station from Tank Farm Dynamo (1983) by David Brin and the high orbit archipelago from Mona Lisa Overdrive (1988) by William Gibson.

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Additional resources:
  More Ideas and Technology from Lost City of Mars
  More Ideas and Technology by Harl Vincent
  Tech news articles related to Lost City of Mars
  Tech news articles related to works by Harl Vincent

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