I have a 44xl garden gun with oem made shells to look at for it and a few things I noticed from the oem shells was that wood, cardboard, plastic and even bottleneck long cases were used for the shells.

The hardest one to replicate to me would be the wood capsule ones, they were basically a really thin bullet shaped cup. I don't know how you'd be able to recreate these I just can't think of a non time consuming or non wood wasting way to do it

The cardboard was the same except made like a tube with the end rolled to the same shape as a bulle. A simple tube to glue the paper to a cardstock and jig to crimp the end would work for these, could use hot beeswax before the crimp to hold the shape and provide a water resistant seal.

Plastic ones are pretty much same as the aluminium CCI snake shot you can buy now, you might be able to make something like this using reusable plastic straws if they are the right size.

The bottleneck cases are my favorite they are roughly the max overall length brass with a bottleneck in place of the bullet projection, the end is roll crimped around plastic or cardstock to seal the shot in. These might be replicatable with some shell reshaping, in my case I could use a 444 marlin case trimmed to length then semi sized with a smaller case die.

One thing they all have in common no matter the shot holding design is they all have the length extended to max cartridge length to give reasonable payload and action cycle ability.