I had an endless pool in my basement. As Aquamatic says, no matter WHAT you do with the rest of the walls, you still want a cover. Otherwise you'll have moisture condensing on things. I got the optional one that rolls in tracks on the coping and cranks open. The cheesy floating shiny foil one that comes with the pool is not the greatest.
What I did was finish the walls with hardipanels (fiber cement panels) in the "splash" area of the pool. On the other walls I used the GP densarmor paperless drywall (easier to work with than hardipanel, though not as nice as regular paper faced drywall). On the ceiling I used plastic beadboard from the Home Depot.
Under all of this I used a special plastic faced fiberglass insulation designed for basements. We covered the exposed areas of the floor with a vinyl plank (I think it was Armstrong) which was pretty easy and just floats over the concrete.
Note that unless you have a secure way of locking the cover, you probably need to have a locking or alarmed door onto the room.
Let me know if you have any specific EP questions, I've set mine up myself and moved it, so I'm getting pretty familiar with the technique.
Q