When working at a factory I saw a natural gas odorizing station in a separate building. Good so far but the building was built of concrete blocks, about 12 ft x 20 ft x 10 ft. No relief panels, guess they thought it would contain it. That's a lot of potential explosive! Had I been given the assignment it would have been a sheetmetal building. Just consider whether you want flying sheetmetal or flying concrete blocks.

So how about a shop air compressor? If you are concerned about a tank explosion and decide to put it into a separate room, it makes sense to have the stronger wall on the shop side.