I'm afraid not as there is no Great Wall in Shenyang, but you can visit Hushan Great Wall and Jiumenkou Great Wall in Liaoning, which are located not far away from Shenyang. Hushan Great Wall is the eastern end of China Great Wall. For details, you can see in this page:
https://www.travelchinaguide.com/china_great_wall/scene/liaoning/hushan.htm
https://www.travelchinaguide.com/china_great_wall/scene/liaoning/jiumenkou.htm