I vote against drywall in an unheated structure as weather conditions could cause condensation and really cause problems.
I would use osb horizontally for the first layer and CDX for the second layer with a strip of CDX to finish and paint the whole thing the same color. The osb will be mostly hidden by your stuff and you can save some $ plus get the ability to screw anything anywhere and not have soggy drywall later. You could fill any voids in the plywood with bondo or even joint compound if they bother you (before paint obviously).
Think of how much work there is in muding the joints and painting in place (you will have to paint the drywall as it will darken over time and look dirty) versus painting the plywood/osb on the ground and screwing it.