See what other say, but I would say to decide on the plants you would like to keep and let that dictate your depth. All the lilies I looked at had direction to plant 18" to 24". I am not sure, but even if you intend no fish I would build your "shelves" level but slpoe the bottom to the middle or towards one side. You will still have debris float to the bottom and this would be easier to maintain, I would think

coxy, also think about your weather and how cold or hot it gets. Do you need a deeper spot to overwinter your lilies so they don't freeze or deeper so it doesn't get too hot.
Where I live we don't freeze, but we get real hot. My pond is 4-5 ft deep because it keeps it cooler. I have the lilies up on stands.

The depth thing has more to do with temperature stability, a shallow pond tends to favour algae and pea green soup conditions, algae copes better with widely fluctuating water temps.

A deeper pond has more stable temperatures varying by just a few degrees each day, waterlilies tend to prefer that stability. A couple of feet deep average depth is convenient for most medium size waterlilies

Determine your frost line in your area and have at least one area in your pond below that line to overwinter your plants in case you get a long term cold spell the tubers won't freeze.

For summer - 12 inches to 2 feet under the surface they will grow nicely. The closer to the surface the quicker they will start up in the spring so you can prop them up early and sink them later if you are interested in an earlier start.

When I moved my lilies down to the bottom of my stocktanks (about 26"), they made lots more blossoms. The ones in my above-ground stocktanks have to be buried in winter. The ones in the in-ground stocktank, I use a deicer on during the winter. I don't know if they would survive without it or not.

I would make it at least 2' deep. The good part about not having a shallow part, or a ledge, is that raccoons can't get in and ruin everything.
You could have something else close-by for the birds.

Wow,thanks everyone! Also, I know that the lilies don't like moving water but to avoid the accumulation of junk in the pond we intend to use a skimmer with the water being recirculated to a filter bucket, with it just flowing rather than falling in. Is that ok?

Last winter, I had a mass of roots floating on the top of my pond. Not knowing what it was, I left it in, but the weather turned colder and the roots were frozen in the ice. We had a very snowy winter (for this aream central MD- over 40" of snow). During spring cleanup, I went to remove these roots, only to see growth on the roots. I left them in, curious to see what they were. Turns out, it was a water lily, and it has done better this year than any other year (in size and blooms). I can't confirm that was due to winter freeze, as we've also had a very hot summer.