can I turn a spa panel box into a circuit breaker box
Most spa panels have 2 spaces for auxiliary loads, often they are inside the coverage of the built-in GFCI.  

However you don't want to run multiple circuits over to the shed, you are only allowed one circuit per voltage.  (One 240, one 120+240, one 120). Any further division of circuits must be in a subpanel in the shed.  Don't get too small a subpanel, go for 3x what you think you need.  

The subpanel can be of any current rating >= the supply, e.g. a 30A breaker can feed #10 wire to a 125A subpanel. It needs to have its own "main" breaker but it can be of any size >= supply rating, since it is only a shutoff switch.  This main breaker must bolt down, you can't just backfeed a breaker that only clips in.  

If you use rigid conduit, the stuff is hella expensive, but only needs to be buried 6” instead of 12-24”.