I also have always had the same wish, but I really have no place to errect such a place. As an avid hunter and a person whom hates rust with a vengence, I worry about the change in temperature and condensation that can occur without your notice and rust or pitting sets in. consider this situation: a warm firearm being brought into a cool environment and condensation appears and you do not react. Whatever you do consider creating a temperature controlled environment in your plans.
Back to my original answer, I was commissioned to do some electrical work in just such a safe place. They wanted another outlet in their room. They had, originally a long walk in closet that was longer than they needed, so he took one third of the closet and made a partition or fake wall. The door to the room was a sliding wood door that was not like the reg sliding closet doors, this door slid besides the original door when opened, but when closed it slid alonside then came forward to hide the intersection. Made a smooth wall if you will. Then he had a hasp and lock on it then camoflaged a clothing bar on that wall to conceal the wall. It looked good. He did extend an ac duct to that room with a register. I was impressed. On one wall he had a military gun rack with all long guns stacked horizontally, then he had a big floor safe for papers and hand guns. was nice.
Anyway, just a thought. If this was my home, I would strive to find a place downstairs for convenience and easy access when hunting season is around.
Remember, during construction even, try to keep this room secret to others on the site. I would strive to construct it once the walls were up and the doors could be locked.