The ability it has is "Justified" (source) no matter what, but nature...yeah, I have a feeling that is determined when the battle starts. The best way to know is to capture it a few times without saving to see if you get different natures. I caught it the once and moved on to find Virizion, so I have no idea.
Cyclone
I tried this. The four or five tests, he had the same nature "Sassy". But after some try, his nature has changed.
I pick him with Gentle (I think). So, I thought about shiny (because I like Cobaltium it's my favourite in his class) but... it's rarely enough... so, I don't need him in shiny.