Edit: the following info was erroneous. I didn't delete it because it would make Browd's response confusing. Please scroll to his response to get the correct info regarding the Apollo wonder.
He had the Apollo program in a city other than his capital. You have to capture the city with the program in it.
I'm not positive, but I believe the program can also be rebuilt if captured, but I don't know if you keep the parts you've already made or if you have to start over.
I suppose to keep this from happening, check your spy screen and see if the Apollo is in his cap. If not, I would guess you'd be able to tell which second city of his is most likely to have it. It's so rare that the AI build Apollo outside of the cap that the city it's in should be obvious (25 wonders, 80 pop, etc).