My girlfriend and I just finished an amazing stay at the Terra Nullius. The cave is a remodeled grain mill that sits on a hillside with a dramatic view of almost the entire bay of Milos and the surrounding valley. It's rustic yet very modern. The house is somewhat far from the main town but the surroundings and drive are stunning. We were also offered amazing local pies, snacks and fruits by the hosts's mother which more than compensated for any lack of nearby grocery stores. There is a nice tavern on the bay that is down the hill from the house.
The space is very cozy and the perfect size for a couple. The only downside is if you are looking for a sun-drenched space and picture window views. The space is built into the hillside and bunker-like, but as soon as you step outside you are surrounded by an incredible expanse of mountains and sea. After long days on Milos spent almost entirely in the sun, the cave setting is a very cool and welcoming respite.