I think it's quiet plausible the two could have known each other. They were both well known individuals. Shaw being the director of the trade mart and Ferrie being an airline pilot, head of a cadet group and was generally viewed as a well read interesting guy who had parties at his house. Shaw and Ferrie were two well known individuals in the city, and both members of the gay community. Shaw would probably find that Ferrie was one of the few people who could relate to him on an intellectual level.
Every teller of tall tales has to have some degree of superficial plausibility to his tale or it goes nowhere. I won't bore you with the litany of really plausible-sounding Roswll witnesses whose lies and exagerrations (together, usually, with some kernel of truth) were finally exposed after extensive research, sometimes spanning many years, by diligent investigators like Kevin Randle (who, somewhat like the interpid Factoid Buster here, describes himself as "chaser of footnotes" because that's often how you finally expose the lies). After they are exposed, the True Believers whose theories hinge on their tales still insist, "No, he was the real deal!"
Ferrie was an interesting and bizarre character. He and Shaw shared gay proclivities. They were both in New Orleans at the same time. Voila, superficial plausibility, and off we go.
Shaw was not starved for sexual or intellectual companionship. He had REALLY significant friends and contacts - including famed playwright Tennessee Williams and some very significant New Yorkers. In its heyday, the Trade Mart was a BIG deal. Simply because the gay district of New Orleans is not all that physically large, I think it's certainly possible that Ferrie and Shaw were in proximity to one another at one time or another, but all attempts to connect them came to nothing. I filter Pena's Ferrie-Shaw revelations through the lens of his other crap and come up with "teller of tall tales."
With almost all the characters in the JFKA saga, the downfall of CT theorizing is learning all you can about the real people. The CT version typically proves to be completely at odds with their real lives. For that matter, if Ferrie and Shaw did have some sexual/social connection that had nothing to with the JFKA, then who cares? Surely, in every instance the purpose is to connect Shaw to some Garrison-type JFKA plot through innuendo.
Reading everything Pena said, I see him as a classic teller of tall tales. The HSCA interview notes refer to him as "dangling bits of information," and that seems to be all he did. He places himself just about everywhere in the New Orleans wing of JFKA speculation, but he never really says anything apart from his obvious effort to implicate DeBrueys and transform Oswald into some sort of FBI/Customs/INS operative (WHAT?). Yes, he doesn't specifically connect Shaw to the JFKA, but like many tellers of tall tales, he does so through innuendo. When asked by the HSCA about a connection between Oswald and Shaw, he just declines to comment on that (wink wink).
I don't know what Pena's game was - but that's what I end up saying, again and again, about the inexplicable tellers of tall tales across the entire spectrum of weirdness. The fact that they often have no obvious motive or agenda is what makes them doubly tough to expose. Pena certainly comes across in the HSCA testimony as having a major vendetta against DeBrueys for some reason.