Through expression of love in similar ways to our own world, one can easily assume that love is present in Ninjago, and so is sexual love, and as evidenced by many characters; families and children exist meaning intercourse likely does too. When creating Zane, Dr. Julien likely gave Zane a wealth of knowledge and made him believe he had basic human anatomy. It’s impossible for Zane to not find out about genitalia at some point and he has felt attraction to Pixal. The most likely scenario is Zane was indeed built with a penis. It is also possible that when rebuilding himself in season 4, he gave himself a slightly larger one.