In this story, one of the main character, I believe the name is Sheen, travels through portals between worlds, in one of them she meets a unicorn. It is part fantasy, part sci-fi. The character discovers during her journey that she is a robot (a machine, hence her name). I recall a cover with the face of the character, with blue color. The book must have been from before 2010, I would guess between 1980 and 2000.
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