Steve,
I have not read of Quantrill's band using caves, which doesn't mean they didn't. I could see two reasons why they would avoid caves, but these are just my own thoughts. I read enough of Quantrill to believe he was cagey enough not to be caught in a tight place with no backdoor--at least after some bad experiences in spring of 1862 with the situation of being trapped in buildings trying to sleep at night and getting out of the weather. Also, if Quantrill's men knew about any cave, northern sympathizers could know it them, too. In other words, guerrillas would probably avoid any cave that was well-known in the neighborhood.

From reading bushwhacker postwar memoirs, I conclude Quantrill and his men preferred hollows and glens in the midst of heavy woods or brush thickets, especially when trees and bushes were in leaf. That is why some referred to guerrilla war in Missouri as a "brush war," or called bushwhackers "knights of the bush." The best or largest such place was in the Sni-A-Bar Hills at the intersection of NE Jackson and SW Lafayette Counties. That place was wild and wooly enough that guerrillas could even use it in winter through most of the war, especially in the last two winters of the war. These men also used smaller such remote places on the property of trusted southern sympathizers. Memoirs also point out that Quantrill's guerrillas who remained in their operating area throughout the winter for various reasons built their own dugouts in hills and ravines, especially in out-ot-the-way places on farms of trusted southerners (as in the movie "Ride With the Devil," 1999) depicting dugouts memoirs specifically mentioned in the winter of 1862-1863. A turncoat revealed one group of dugouts to the Yanks in February 1863, which led to a desperate gun battle mentioned in several accounts as the southerners scrambled to escape the dragnet across the snow-covered countryside.

The Underground Railway in west-central Missouri during this and earlier periods built tunnels and walled off hidden rooms, but they handled small groups only, and had the advantage of feeding escaping slaves from their own kitchens.

Bruce Nichols