Maruf, beautiful land you have there! So tell us more about what you might have available to work with. Can you get pallets, windows doors or scrap wood from a local town or city? Do you have rope, or nails, what kinds of tools do you have? How many of the local forest trees can you harvest?
I think I would find a thickly branched place among the big pine trees. Find four trees that would be the four corners of a square. Trim off the "inside" lower branches to clear a building site, but leave the "outside" branches to hide where your shed will be. Collect/cut down dead tree trunks and either build walls using the four corner trees , sort of like a log cabin, or make cob and rock walls and then lay the dead logs over the top as a roof.
Your shed would be hidden among the pines and might also be protected from the weather a bit?
You could also build a dugout, as you mentioned, using the rocks and logs to form a roof and walls.