Basic homemade escape rooms are not too hard to construct. Pick a secure space with only one entrance, like a closet. Replace the hollow core interior door with a steel clad exterior door or a fire door. Fit the door with a heavy deadbolt that has a key on the outside and a hand-turned latch on the inside so you can quickly lock it.
On either the inside or outside walls of the space, screw on sheets of ¾” plywood. Don’t use anything except real plywood. Particle board or chip board can be kicked to pieces. Make sure you use lots of screws.
Inside, you want battery powered lights in case of a power outage. Add some means of last ditch self defense. Stock a first-aid kit, some quick energy food, and some water. Keep a cell phone or two-way radio inside the room so you can always call for help.
And, God willing, may you never have need of it, but it will be ready to go in case you do.