The identity of "Shadow" is the Shadow Dragon, Skiadrum himself.
Remember Gajeel say that Rogue's true name is Rayos/Reyos[sic], and he was his former disciple? While this was pretty strange and seemingly came outta nowhere, it makes a nice clue as to who Rogue is. So my theory is as follows:
While Metallicana was still training Gajeel, the former met "Rogue", or Rayos, and offered him to become his student. Then, through Metallicana, Rayos ended up knowing Skiadrum, the Shadow Dragon.
Rayos was taught Dragon Slayer magic by him, then someday (perhaps because of their thirst for power), he ended up killing his "parent", and subsequently absorbing his magic as Lacrima.
Unknown to Rayos, A part of Skiadrum survived (perhaps inside the Lacrima he absorbed). Infuriated by his own son's betrayal, the horribly weakened Skiadrum possessed Rayos and vowed to get revenge on Dragon Slayers and humans in general. Thus, "Rogue" was born.
However, Skiadrum was much too weak, and he didn't have complete control over Rayos, given his secret good side and his friendship with Frosch, and decided to find a way to regain his former strength (which somehow involves the Dragon King Festival and the Fiore Kingdom's destruction).
During normal circumstances (ergo, the bad future from which Lucy came from), Skiadrum (In Rayos' body) succeeds in calling forth the Dragon King Festival, and becomes Shadow, the next Dragon King after Acnologia, possessing both the form of a Human, a Demon and a Dragon.
Desperate, Lucy decides to use the Eclipse Gate in order to set the past right and stop Skiadrum's plan, but he somehow becomes aware of it and decides to interfere, which brings us to the current chapter.
That was kinda long, but I hope you guys could understand it. So does it make sense?