I don’t have a lot of experience working in the wet part or a bathroom. I believe I saw a friend frame out a shower and then cover it with cement board once and then tile over it, so that may be an option, but take that advice with a grain of salt.
If you’re gonna buy and use power tools, just use regular construction materials. MDF is pressed wood fibers, cheap, reliable. It’s what all the Ikea stuff is made of.
If it’s just mockups, you could use something like “rigid pink foam” from a vendor like Owens Corning. If you can detail what you’re trying to do I might be able to be more helpful.