I have never really got into collecting shines. Personally, I would say that a good starting point could either be Pearl or PLA for the limited Dex. I don't know about gen 9 as it's already not really easy to make eggs, so I guess shines will be hard as well.
If your idea is to make the complete shiny living Dex, then after Pearl or PLA, it can be a nice choice to choose Sword as it has more Pokemon.