My dads national guard armory had an indoor range in the basement. He said at the business end there was a bare dirt floor with a thick steel plate at a steep angle above it. The fired rounds would be deflected by the steel plate into the loose dirt.
I'm not sure what zoning laws you'd have to deal with but as long as you're out in the country and are safe about the construction I can't see why you'd have any trouble with zoning.
Century Arms AR-15A2, 5.56
1946 Mosin-Nagant M44, 7.62x54R
1978 YUGO SKS, 7.62x39
NEF Protector Pump, 12 gauge
Savage Model 64, .22LR
NEF Pardner Tracker II, 12 gauge
Rock Island Armory 1911A1, .45 ACP
Remington 870 'Express Magnum' 12 gauge
Bersa Thunder .380