I know someone who did something like this.
They bought a huge garage/warehouse on an empty plot of land, and built essentially two floors of a house right next to each other inside it. Didn't make it look fancy though, just enough to keep the insulation in and hold everything solidly together.
His reasoning? "it's got to be cheaper to heat and easier to maintain if it's inside a cheaper building"
He's lived there for over a decade and has since gotten married and had a kid, so it's still working for him.