In older gen games, Jolteon will only learn Thunder Shock if evolved prior or at level 15, and won't learn it if evolved after. This was fixed in newer gen games, changing them onto on evolution moves. It had to be a Jolteon by level 15 to get that move, in gen 4.
If you want your Jolteon to relearn Thunder Shock, since the game is processing it as forgotten, take a Heart Scale to the Move Reminder in Pastoria City, in the house northeast of the Poké Mart. You can also use a TM to teach your Jolteon another electric type move of your choice.
Source: lots of experience, this