You could just build it as two hemispheres and then have a slit in the middle align to the orbital plane. You could have a few corridors every now and then as they wouldn’t really block out much light.

Although that wouldn’t really be a problem since in order to get enough material to actually build it you would need to dismantle most of the planets in the system including Earth. Which does rather present a difficulty and I suspect would be a major political blocker.