>An extra Poké Ball is not necessary to obtain Shedinja in Generation III.
>From Generation IV onwards, a basic Poké Ball (a requirement for evolution) is removed from the bag upon evolution to produce a Shedinja. In Generation III, Shedinja instead copied the ball Nincada was in; this is the only legitimate way to get a Shedinja in a non-standard Poké Ball.
Source
So, to answer your question: No, you will not get a Shedinja without a Pokeball, except in R/S/E/LG/FR.