Do Marchesa the Black Rose and Nightmare Shepherd work together?
Marchesa's ability will try to bring the creature back but if you chose to use Nightmare Shepherd's ability it won't find it. As written in the gatherer ruling for Marchesa:


  If the creature card leaves the graveyard before the delayed triggered ability resolves, that card won’t return to the battlefield, even if it’s back in the graveyard when the delayed triggered ability resolves.