Drywall is perfectly fine in a steam shower if you're going to be putting Kerdi on top of it.
CBU can be used, but it will be a much tougher installation. The loose thinset you'll be putting Kerdi on with will have all of its moisture sucked out by the very absorbent CBU. To solve that problem, mist the CBU until it's moist, then apply the Kerdi.
Kerdi's was designed for use with drywall - try not to change the game plan.
As far as the room is concerned, work backwards. Complete the shower first, then the floor outside. You don't want to be tracking things over a freshly-finished floor do you?
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