It's actually your territory space, rather than caves, that affect how many lionesses you are able to have. To increase your maximum amount of lionesses, you need to get more territory.

This wiki page explains more about how territory works, and how to get more. At your stage, the options are either buying it with SB, or battling other players via the PvP option on their den pages. This doesn't cost anything, so may well be a better option if you're short of SB or have other things you want to prioritise buying :)

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