Each shade has a connection to at least one nation:
Istaroth was worshipped in both Mondstadt and Enkanomiya
The shade of life created Egeria, who became the first Hydro Archon of Fontaine
Ronova allows the Pyro Archon(s) of Natlan to borrow her power
I wonder if the unknown god (theorized to be the fourth shade, ruler of void) will end up being connected to a nation as well