Shirley shot her with Lelouch's gun, but she didn't die. She was rescued later. She saw that he was Zero.
Shirley, meanwhile, is having a crisis. The man she loves also killed her father.
This is not helped when Mao, another geass user whose power is mind reading, finds her.
Mao manipulates Shirley into proposing a murder-suicide with Lelouch. Proposing at gunpoint, that is.
Lelouch uses his geass to force her to forget everything about him.
He's shaken by the loss of something he didn't even know he had or valued.