Hi Alex, and welcome to the forum.
You should not use drywall, unless you plan on using the Kerdi shower system.
There are other shower systems (such as Wedi), but most commonly, cement board is used. Even when cement board is used, you must do something to stop water from entering the wall cavity. Cement board is not harmed by water, but it is not a water barrier.
You can put something behind the cement board like plastic sheeting, or roofing felt. Or, you can use a surface-applied membrane like RedGard.
EDIT: Well, Brian types faster than me, but at least we're singing the same song.