Drupal Commerce - Database location of Shipping information
Drupal's entity data isn't really meant to be exported directly from the database. Is there no way for you to build a PHP script that uses the Drupal API to load and export these entities instead? Or an existing module like Patrick suggests?

Otherwise, you're going to need to pull information from a variety of tables. Shipping information is stored on an order's shipping customer profile. These are linked to the order via a customer profile reference field (whose table should be field_data_commerce_customer_shipping). From there you can find the customer profile ID you'll need to search for in the address field data, matching the profile ID against the entity_id in the field_data_commerce_customer_address table.