Zion is approximately 9000m below the Earth's surface
Notwithstanding Tank's hyperbole about Zion being 'close to the Earth's core', in the third film the Machines are drilling down toward Zion from the surface. At the meeting of the captains, Ghost and Niobe give us more than enough info to effectively pinpoint Zion's depth.
The Machines are already at a depth of (approx.) 2000m.
Soren: How deep are they?
Niobe: Almost two thousand meters.
Their current rate of digging is (approx.) 100 m/h.
ICE: How fast are they moving?
NIOBE: Control estimates their descent at
one hundred meters an hour.
The Machines will be inside Zion in (approx.) 72 hours.
GHOST: And if Niobe's right, in seventy two hours, there's going to be a quarter-million more.
From here we can do some simple maths: 72hours x 100m/h = 7200m. If we add the current 2000(ish)m depth, we get a rough estimate of 9000m and pocket-change.
At that depth the temperature of the rock would be (approx.) 150°C. More than enough to keep the place toasty-warm and hidden from any machine scans for heat sources.