Final answer:
Based on the historical context provided, it can be concluded that Shannon's grandparents lived in Canada, primarily influenced by the information on the Shanly family and Mary Ann Shadd Cary.
Step-by-step explanation:
Narrowing down the country where Shannon's grandparents had lived requires examining several excerpts, but the most relevant one belongs to Mary Ann Shadd Cary. Born free in Delaware, she later moved to Canada with her family to escape the hostile conditions African Americans faced at the time. Thus, it is reasonable to infer that Shannon's grandparents lived in Canada, as the reference to the Shanly family and Lieutenant-Colonel C.N. "Bob" Shanly, who was involved in Canadian military expeditions and business dealings in Toronto, further reinforces this conclusion.
The provided information also mentions other regions, such as Georgia in the USA, Van which hints at Armenia, Rouen in France, and Shanghai in China, yet these do not directly relate to Shannon's grandparents. Therefore, in synthesizing the information related to both the Shanly family's links to Canada and Mary Ann Shadd Cary's migration to Canada, the most supported answer is that Shannon's grandparents resided in Canada.