Yes you can. here is a video http://www.youtube.com/watch?v=y9dM0UDD7c4&feature=player_embedded of a shiny sudowoodo. Also if that is not enough here is a bulbipedia source http://bulbapedia.bulbagarden.net/wiki/Shadow_Pokémon
If you want a shiny Pokemon it is really hard in colesseum saying there are no wild pokes so shadows have a strange glitch explained on my source but in xd gale of darkness Pokemon at pokespots are wild so the normal chance aplies to them.
