Federated Learning (FL), allowing data owners to conduct model training without sending their raw data to third-party servers, can enhance data privacy in Mobile Edge Computing (MEC) which brings data processing closer to the data sources. However, the heterogeneity of local data and constrained local resources in MEC bring new challenges hindering the development of FL. To this end, we propose an Auction-based Cluster Federated Learning scheme, called ACFL, comprising a clustered FL framework and an auction-based client selection strategy. Our clustered FL framework first introduces a mean-shift clustering algorithm to FL, which can intelligently cluster clients according to their local data distribution. Then, we select clients from each cluster using an auction mechanism to participate in FL training, which can mitigate the impact of data heterogeneity on model convergence and balance energy consumption. Moreover, we prove the proposed clustered FL framework converges at a sublinear rate. Extensive experiments conducted on real-world datasets demonstrate that the proposed FL scheme outperforms the conventional FL schemes in terms of convergence rate and energy balance.