what is d-sub connector metal shield made of?
Finding the datasheet or mechanical drawing of your part would be the best way of getting the answer. 

Taking one connector at random on digi-key, http://www.assmann-wsw.com/fileadmin/datasheets/ASS_4884_CO.pdf you can find that the shell is SPCC. So soft steel. Not so fun to solder on.

Some (most?) shells are plated though, with copper, tin and/or nickel, which are much nicer to solder on.

The other factor is that the shell is basically a HUGE heat sink (in terms of soldering electronic components) so you might have a hard time getting it hot enough to have a good solder join.

Good luck.