I definitely didn't just go and test this out myself... But you're right, Shedinja uses up 1 Pokéball from the bag, and is forced inside one upon hatching. In which case, best ball for Shedinja is Pokéball \o/.
Sorry to be the party pooper... :(
It can only be in a non-standard ball in gen III
I just gotta run, but will get back to you when I return :)
Edit: Shedinja'd twice...
Edit II: Thanks $teele for taking on the BP :D