The grades at Cass go as steep as 11%, I believe.
And a Shay settles in around 5-6mph, less than half the average speed on the C&TS. You can do the math - pass out a lantern, a sack lunch, and a good book to everyone boarding the train. They're gonna be on it a while. (On the plus side, you could drop off an run ahead for pictures, or just walk alongside watching the drive gear.)
Whether a Shay could tug 230 tons up Cumbres even at 5mph is an open question - and do it with a Shay's water capacity. Given the smaller boiler and smaller tanks, I'd bet "no." Certainly not for the amount of coal a K36 uses.
Shays might be fun and interesting on the C&TS, and practical on the 4-mile GTL, but they don't make operational sense for the C&TS.
JAC