USB OTG Cable Shielding
Both shields should be tied to the connector shield. USB ground should not connect to the shield at the cable connection. (although they could be tied on the PCB)

Shields shunt noisy current away from the grounding signal, if the cable shield was broken, a noisy current would choose ground as its prefered pathway where it could cause interference in the data lines by coupling into the data lines via mutual inductance. (wires running along side each other form a mutual inductor where magnetic fields can couple from one to the other wire).

The cable shield will also shield the internal conductors from stray electric fields and RFI. 


  How am I supposed to connect the shielding:


This way:  Both connectors metal enclosure to the wire mesh