Something insubstantial
I think in this case that "shadow" means something insubstantial. By that I mean that it lacks true substance (not necessarily meaning unimportant.) With this interpretation the word "shadow" ties closely to the word "thought." Eowyn is in love with her thoughts about Aragorn rather than Aragorn himself, which ultimately is a pretty insubstantial thing to be in love with.
In this sense, being in love with a shadow is something of an "unlife."
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...finding a path that cannot be found, walking a road that cannot be seen, climbing a ladder that was never placed, or reading a paragraph that has no...
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