Practically I would connect the TVS to shield, but to gnd is also almost the same.
By doing so you cripple ESD protection of IC connected to USB data lines and also increase risk damaging capacitor between shield and GND during ESD event (yes capacitors can be damaged by ESD too). As of placing something between connector shield and GND, IMO it should be done only if connector shield is connected to GND by some other means like conductive gasket between connector and grounded metal enclosure. FWIW, the vast majority of micro USB cables have shield and GND wire sorted together at connector. And the strangest is that placing ferrite bead instead of capacitor seem to be just as popular, despite that it has completely opposite effect.
2. Most of the designs I've seen use the ground. But realistically, I doubt it makes a difference.
And where goes return path for current from ESD discharge? If your intention is protecting usb connector from discharging between it's pins and shield, then sure, you can connect protection device to connector shield. But you are not protecting IC. It will mean that voltage will rise on both data pins and shield in reference to GND to which IC is connected, and IC will still receive hit on it's USB pins. However if metal enclosure which is connected to connector shield is used, then sure you could connect ESD protection to connector as it should act as current return pant.