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.