Limiting current through Zener shunt reference by PNP current source
Firstly, your calculation is wrong for the power dissipation in the regulator - the voltage across the regulator is clearly 3V3 and the current thru it at maximum voltage (20V) is (20 - 3.3)/1k5 = 11mA, therefore power dissipated is 37 mW. The resistor will be dissipating most of the power (183 mW).

However, if you were still intent on using a current control circuit then for Q2 to be operating in a "proper area" it needs about 0.7 volts across base and emitter. Given that for Q1 to operate it needs 0.7 volts across its base and emitter, it follows that the base of Q2 will be about 1.4 volts below the 5V rail - this is sailing a little close to putting Q2 into saturation and not being able to supply the current needed to feed the shunt regulator.

I'm not saying it won't work - I'm saying I would want to simulate this to make sure there was enough headroom.

On the other hand if you used a basic PNP current mirror you would be significantly further away from saturation and I'd be happier with this as a "goer" from the start. The current regulation doesn't need to be that precise so maybe consider this as an alternative idea.