Can we situate greenhouses underground for better temperature insulation and pressurization, and just pipe in the light from the surface above? What's wrong with that?
Mushrooms already grow in caves, and we could perhaps start out with these on Mars too. Later, we'd just figure out how to bring in light from above, for other crops.
As mentioned, insulating underground is fine with LED grow lights. Solar panels on the surface to make power.
If you do have natural light greenhouses (vs if LED indoor farms "win"), I expect that for economic reasons they would ...
There are greenhouses today on the surface that use the sun, but LED grow lights at night. Growing time is almost cut in half, so more crops can be produced than normal once a year farming.
Greenhouses above ground an underground will be the norm.
[Real edit] I've also been surprised to read that ascetic acid, found in vinegar, can not only be digested by humans efor useful calories (and only food energy...), it can also be manufactured via industrial processes. Only example I know of, of non-biological manufacture of useful food molecules. Maybe that's a useful start to figuring out how to make more complex / useful food molecules?
Synthesize glucose. Synthesize ammonia. The rest can be done biologically