Your strategy is impossible due to 1 critical detail. Wonder Guard cannot be transferred to another Pokemon. Moves such as Skill Swap will fail when used on Shedinja.
If it were possible, you'd be correct -- a typeless Pokemon would have no weaknesses, and would then be protected from all direct damage. However, there are a lot of sources of damage that are not direct. Burn, Poison, and Toxic. Self damage from Confusion. Leech Seed. Sand and Hail. A Ghost type using Curse. Rough Skin, Iron Barbs, and Rocky Helmet. Recoil from attacks. I think Future Sight? Destiny Bond doesn't deal damage, it simply makes the target faint. OHKO moves. And so on.