I used to watch govdeals for a few months and a vault door popped up once. Can't remember the exact price but it was about $380.
And instead of a gun safe I'd use an old store safe from the 50s thru the 70s in the $600 range. The Chinese imported "safe" I bought from Dicks Sporting Goods in the $550 range did not even compare. Think I started with a Stack On cabinet which is just tamper proof.
Your vault room method is much better if a person has the space.
The problem with a standard vault door is that it opens outward and you can get trapped inside by stuff on the outside. I guess you can keep a porta-power inside to push the door, but still very risky.
My loser neighbor converted a metal 1980s Sears lawnmower shed into a bedroom for himself and concubine. He furnished it with a with all the trimmings. One day their car rolled out of gear down the drive and hit the wooden stairs beside the house knocking the back deck off the house BLOCKING the shed tenant's escape until his brother could demo enough deck to free them. Luckily I arrived after so I didn't have to help.