Here's your example without the cube. The hole is the same, but now it can as well be a convex ball segment above the plane. The shading of the cube was essential to make difference between a concave hole and a convex bubble.
If you can accept that ambiquity, you can use gradients to create the shading.
So have a base material layer and an empty layer above it for the hole. Make a round or elliptical selection:
Draw a spherical white to black gradient over the selection in the hole layer:
With the curves tool adjust the gradient limits and steepness:
NOTE: You cannot create a difference is it a hole or a bubble this way. You must add some grooves or other details which are not probable on the bubble in the same light. Any texture that has some recognizable natural directions will go.
The hole is made partially transparent to see all. A random screenshot is warped along the hole to follow the imagined concave surface.
The screenshot is clipped outside the hole. The emptiness around the hole was selected with the magic wand. DEL was pressed in the texture layer. The hole has got blending mode multiply to make the shading. Opacity is reduced a little to remove exessive darkness:
Unfortunately this can still be a bubble. It hangs in the roof. That illusion can be made improbable by modifying the base material:
Now the base material has apparent perspective (=detail size and fading contrast) that would be impossible if it was the roof.
Conclusion: The environment is as essential as the hole itself . I have only different base than the original cube.
More of the ambiquity and how to avoid it:
Adobe Illustrator: Making a shape appear to be "carved" into a surface