Actually, you can do this, but it's weird.
I caught Nincada in a Premier ball. When it evolved, Shedinja was also in a Premier ball.
Candle is correct otherwise, Shedinja will only appear if you have an empty slot and a Pokeball specifically, but it can appear in other balls if Nincada is in that ball, as proven by this screencap of my own Shedinja: