Portable device shielding & ESD
[ At the moment, this is a half-answer-half-comment.  I intend to evolve it into a full-blown answer as more information becomes available from the O.P. ]

Here are a few points.  They connect some of the dots, but not all of them.


USB shield is left unconnected on the device side, because it's always connected on the PC side.  (There is a variant where USB shield is connected through a capacitor on the device side to provide a path for high-frequency signal.)
ESD arrays are always between an external terminal and the ground of the circuit that's being protected (signal ground, digital ground).
It's possible to get into a situation where you have current flowing through shields.  It can adversely affect measurements.  There are 2 options for dealing with this.


Provide galvanic isolation which would prevent the current from flowing.  
Make measurements only when powered from a battery.  Put a note into the manual.  Enforce it in firmware.



The remaining question is: Where to connect the shield of the sensors cable?  It depends on the nature of the what's being measured.  For example, if the target is earthed, then the connecting the shield to the target's earth is good for reducing EMI.  Please tell us more about what you are measuring and about the surrounding EMI environment.  (?)