SHAP value can explain right?
I guess what you meant by correlation between SHAP values is "SHAP Interaction Value".

SHAP value is a measure how feature values are contributing a target variable in observation level. Likewise SHAP interaction value considers target values while correlation between features (Pearson, Spearman etc) does not involve target values therefore they might have different magnitudes and directions. 

The features may grow together but their contribution to target variable in different intervals may reverse.

You may want to check docs and this beautiful work.