bdcochran has some good advice. Being in the construction industry I deal with builders and building departments almost every day. Only in really rare circumstances do the building departments (i.e. Building Inspectors) require you to raze a structure and start over. Most of the time, if you can get the trades and professionals to sign an affidavit stating that the construction was to code or state/county standard then you are good to go. However, good luck finding an electrician, engineer, plumber, etc. that will sign off on your building post construction. If you want to go that route, hire the electrician, engineer, plumber, etc. prior and during the construction to make sure you get it right, then they can sign off on your project post construction - should you need it.
I spoke to our county official (just west of Denver, CO) about underground shelters and anything less than 200 square feet is considered an accessory building and only requires an "accessory building" permit - same as a large swing set, gazebo, pool house... I know, I know, and I'm with you, why should government be involved in the first place, but it's their job to tax us and the more usable space they can tax us, the more money the county/state make. Bottom line if you are so inclined to go the legal route, it probably won't be that big of a deal. Accessory buildings per code, do not require electricity, plumbing, ventilation, etc. It's just a building so you don't have to be worried about being required to light and insulate the place. Just call it a storage building.
As for underground shelters, stay away from the connex boxes and buried buses. For almost the same price you can get fully engineered and underground rated (even water proof) precast concrete shelters. They are beyond the do-it-yourselfer...unless you have an excavator and crane capable of lifting 40,000+ pounds, but are roomy and secure - even fireproof for the most part.
You can always go the CMU (cinderblock) route and build it yourself, but I suggest getting a little construction/engineering advice prior to stacking the blocks. You'll need to know what type of mortar/grout/concrete and rebar to use.