We propose a novel site-control technique for strained quantum dots (QDs) based on nano-lithography using an STM integrated into a UHV STM/MBE multi-chamber system. A nano-scale deposit was formed on a GaAs surface by applying voltage between the GaAs surface and the tungsten tip of the STM. Since the deposit acted as a nano-mask, the subsequent GaAs growth formed a nano-hole just above the deposit. Subsequent InAs supply produced a QD on the hole site, and no QD was observed in any undesirable regions. We also observed the QD formation processes involved in the technique, based on step-by-step STM observations of the QD formation process. The observation directly revealed an InAs wetting layer formation with 1-ML thickness on the GaAs terraces followed by the QD formation in the Stranski-Krastanow growth mode.