I am talking about constraints on buying the power, brass, and bullets. If you wanted to make all of those things 'off the grid' as it were (like you were equipping a small army) then you show up on the radar just as clearly as you do if you're buying a lot of guns.
For black powder weapons you don't need brass, you can make your own black powder out of raw materials, and lead is pretty easy to get hold of as well.
Black powder cartridges were common stay until ~1890s and some (e.g., .45-70) were very powerful. You also technically don't even need brass: shotgun shells use plastics and (prior to that) used to use cardboard. Shot/slugs/bullets... are all easy to manufacture as well (you just need a mold and lead).
The difficult parts are:
1) Getting the mercury fulminate percussion cap. I doubt this is something that can be easily manufactured. Even if you use a readily bought one (which, I'd imagine, could easily be tracked and/or prohibited by government), it would be quite dangerous to monkey-patch it onto self-manufactured brass.
2) Non-standard brass will not feed reliably from a magazine, even if it will chamber: so any such firearm will be limited to single shot.
3) You'll still be limited to low pressure rounds: I highly doubt a home made action would withstand even a strong black-powder round like a .45-70. I don't imagine this handling anything more powerful than an old .32 S&W or a .410 shot shell. Still dangerous, but not exactly a major caliber.
For black powder weapons you don't need brass, you can make your own black powder out of raw materials, and lead is pretty easy to get hold of as well.