Films with no buildings in
The Scalphunters belongs in this category. No buildings of any sort appear anywhere in the film and all of the characters appear to be essentially homeless (the Indians probably have a village somewhere, I guess, but we never see it).
I'm sure that there are plenty but, off the top of my head, I can't think of any other movies that literally have no buildings in them at all. Caveman films tend to have caves, Tarzan films tend to have tree-houses or mud huts, and Robin Hood films have castles. Some science fiction films will take place entirely on spaceships so they might qualify.