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.
Piers Anthony's Apprentice Adept series, probably Split Infinity:
The Game-champion serf Stile is assaulted on Proton by an unknown enemy, but learns he can escape into a mysterious fantasy world (Phaze). In Phaze he meets Neysa, a unicorn, and learns of his magical legacy as the Blue Adept. Back in Proton he tries to uncover his enemy, while building a relationship with his robot lover, Sheen.