For an example when you mega evolve a shiny lucario will it keep its shiny colour when mega?
Yes, they retain the same colour (roughly) when it mega evolves. Well at least all of the one's i've looked at do.
Shiny Mega Heracross
Both have a pink colouring
Shiny Mega Scizor
Both have the gold hue
In the same vein, Shiny Lucario and Mega-Lucario both have gold hues around their lower body and their head, as do all the other megas I believe.