In that case you would want a 3 sided shelter with very deep overhangs...even better if the roof comes out far and casts shade over a good sized space in front of the shelter where you could put a hay feeder that would be safe from sun and rain.
It would be nice if the shelter had large screened windows that you can close if the rain comes in sideways.  And the front part, you want to be able to make dog/predator-proof but not stop ventilation.
Usually the biggest predator is stray dogs (or wolves and coyotes) but bear can be an issue depending on where you are.
So... make sure that their pen is such that dogs can't get in.
As to space... bigger is always better...  I can't remember the standard numbers that are tossed out... but for 3 pygmies I would make the 3 sided part 10x10, and the shade overhang 10x10 and the pen as large as possible.