Help Trump build the wall!

CJam, 52 bytes

F,ri*"s@;b6(MBZF,fu"128b6b"_ 
|-—"f=N/ff=zN*

Includes a bunch of unprintable ASCII characters. The hexdump of the first string literal pushed is:

01 73 06 40 3B 62 36 28 1E 4D 07 42 5A 14 1B 46 2C 66 75

Try it here!

Explanation

The above hexdump is interpreted as a base-128 number, then converted to base 6, to get this list:

[1 1 1 1 0 0 1 1 1 0 0 2
 1 1 1 3 1 1 3 0 3 1 1 3 2
 0 0 0 3 1 1 1 1 1 1 1 3 2
 4 1 1 1 2
 1 4 2
 4 1 2
 5]

To this, we apply the mapping 0 → _, 1 → space, 2 → \n, 3 → |, 4 → -, 5 → —. This gets us the string:

    __   __
   |  |_|  |
___|       |
-   
 -
- 
—

It consists of the "period" of each line; i.e. we can cycle the fifth line " -" to get " - - - - - - - ".

Then, we execute this subprogram:

N/               Split into lines.
  Ff*            Repeat each line 15 times (to cycle it).
     Ff<         Take the first 15 chars of each line.
        rif*     Repeat these chars input() times.
            N*   Join lines.

(The new version does this in a slightly different way that I actually can't wrap my head around myself very well, because it uses ff=.)

JavaScript (ES6), 116 115 bytes

n=>"__   __    n|  |_|  |   n|       |___n -  n- n -n—".split`n`.map(l=>l.repeat(15).slice(-15).repeat(n)).join`
`

Saved a byte thanks to @Neil!

Explanation

Pretty much the same as @Mauris' CJam method, but without the character mapping.

The wall parts are in the format:

__   __    
|  |_|  |   
|       |___
 -  
- 
 -
—

because if you repeat each line 15 times you get:

...    __   __    __   __    __   __    
... |  |_|  |   |  |_|  |   |  |_|  |   
... |       |___|       |___|       |___
 -   -   -   -   -   -   -   -   -   -  
          - - - - - - - - - - - - - - - 
           - - - - - - - - - - - - - - -
                         ———————————————

and after slicing to just the last 15 characters you get:

    __   __    
   |  |_|  |   
___|       |___
-   -   -   -  
 - - - - - - - 
- - - - - - - -
———————————————

Ungolfed

n=>
  
  // array of wall line parts
  "__   __    n|  |_|  |   n|       |___n -  n- n -n—".split`n`
  
  .map(l=>       // for each wall line
    l.repeat(15) // repeat the line 15 times to create a complete wall line
    .slice(-15)  // each wall piece is only 15 characters long
    .repeat(n)   // repeat the wall n times
  )
  .join`
`                // output the resulting wall

Test

var solution = n=>"__   __    n|  |_|  |   n|       |___n -  n- n -n—".split`n`.map(l=>l.repeat(15).slice(-15).repeat(n)).join`
`

<input type="number" oninput="result.textContent=solution(+this.value)" />
<pre id="result"></pre>

05AB1E, 38 bytes

•4H’*»È%f·ù„áÅ'4•4B3ÝJ"_ -|"‡8ô€ûvy¹×»

Try it online!

•4H’*»È%f·ù„áÅ'4•     # Push '1724427993555739020619095486300160'
4B                    # Convert to base 4 (turns it into an 8x8 bitmap).
  3ÝJ"_ -|"‡          # Replace digits 0-3 with _, , -, or |.
            8ô        # Split into pieces of 8.
              €û      # Palindromize each piece.
                vy¹×» # For each row, dupe it n times (hori) and print it.

1724427993555739020619095486300160 converted to base-4:

11110011111311300003111121112111121212122121212100000000

11110011111311300003111121112111121212122121212100000000 with characters replaced:

__ | |____| - - - - - -- - - - ________

Previous pattern split into 8 pieces:

    __  
   |  |_
___|    
-   -   
 - - - -
- - - - 
________

Then you palindromize, and make it as long as needed through repetition.