Is EMC shielding of a grounding wire required?
The problem with shielding any sort of safety grounding is what do you shield it with?   

I mean, you're out of groundy things. You have vehicle chassis or your local earthing rods, where do you get a better ground than that?  You don't.  

If your PE shield needs shielding, then what you really need is for the PE shield to be a better one than it is.