Sure, there's plenty of dirt cheap land in the US some of which even has electricity and water available for a possibly non-trivial hookup charge. (Or maybe you tank in water and use solar.) But the problem with building a house on that land (or plopping a mobile home) isn't the cost of the house. It's the fact that it's nowhere near jobs or other amenities people want to live near.

ADDED: The cost of housing in rural Nevada isn't what people are complaining about when they talk about the high price of housing.

Many counties prohibit this use via land use regulations defining this activity as camping and providing for a maximum time you may camp on your land. So it is likely not something you can do in a large part of the US.