Victoria's financial watchdog has been asked to investigate alleged theft and corruption on the state government's Caulfield-to-Dandenong sky rail project, in the wake of claims of wage fraud and copper theft on Labor's signature program.

The state opposition has written to the Auditor-General requesting a probe into allegations revealed in The Age that contractors working on the $1.6 billion sky rail program secretly renovated a manager's home, stole many tonnes of lucrative copper and falsified timesheets in a series of rackets potentially costing hundreds of thousands of dollars.

Kory Oxley, who worked for Lendlease, faced court on Wednesday over 11 criminal charges. Credit:Joe Armao

The Coalition's move has the backing of an unlikely bedfellow in the Victorian Greens, who are also calling for expanded powers for the Independent Broad-based Anti-corruption Commission to investigate whether rorting is happening on other huge transport projects.

It comes as the Level Crossing Removal Project's chief executive, Kevin Devlin, sent a strong message to anyone working on the government's multibillion-dollar program, warning that any illegal activity would be immediately detected and punished.