How do I add an appended object as part of a shapekey? So the shield is part of a shapekey. It does not exist in the "basis" shapekey.

The skull I made in a separate blend file and appended it to this file. I now want to join the skull and shield together. So they are both part of the shield's shapekey. Is this possible? Or will I need to recreate the skull in edit mode whilst in the new shapekey?

Hope this is making sense :S
Select the shield and afterwards the skull, and press ctrl + j. This joins the meshes together and creates a new object and should fix your issue, unless I understood it wrongly.