You may also be looking for the PlayStation level of the same name.
Gorgon is the homeworld of the heroic Gorgonites. In the film, Archer and the Gorgonites were programmed to look for their homeworld so they can be safe from the evil Commando Elite. They leave to find it when Alan puts the Gorgonites on a model ship and sets them out to a river. It is indeed ultimately never seen in the film, but is only seen in the Small Soldiers PS1 game in the first level, depicted as a temple-like surrounding.