You might have a construction timing problem. The clay has to have some moisture in it before it will pack. The sandy loam also needs moisture. Following a 4 month drought is no time to dig a hole and be sure it will hold water.

Anything that goes down that rapidly sounds like a serious leak. Why did you line the bottom with clay? Were you covering sand or rocks? Since you say you can't find a leak, I assume you are talking about at the dam. Sounds like it is leaking out the bottom or possibly a sandy or rocky place on the side. If so, you will have to drain it and start over. I think I would get the contractor back out and ask some pointed questions. He should have known better(IMHO).