Before following the below steps, you can create the order attribute and store it into the value.

Step 1: Create module.xml file under app/code/Vendor/Modulename/etc directory and registration.php file under app/code/Vendor/Modulename directory.

Step 2: Create sales_order_shipment_grid.xml file under app/code/Vendor/Modulename/view/adminhtml/ui_component directory with below code

<?xml version="1.0" encoding="UTF-8"?>
<listing xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:noNamespaceSchemaLocation="urn:magento:module:Magento_Ui:etc/ui_configuration.xsd">
    <columns name="sales_order_shipment_columns">
        <column name="custcolumn" class="VendorModulenameUiComponentListingColumnCustcolumn">
            <argument name="data" xsi:type="array">
                <item name="config" xsi:type="array">
                    <item name="filter" xsi:type="string">text</item>
                    <item name="label" xsi:type="string" translate="true">Custom Column</item>
                </item>
            </argument>
        </column>
    </columns>
</listing>

Step 3: Create Custcolumn.php ui component class file under app/code/Vendor/Modulename/Ui/Component/Listing/Column directory with below code

<?php
namespace VendorModulenameUiComponentListingColumn;
 
use MagentoSalesApiOrderRepositoryInterface;
use MagentoFrameworkViewElementUiComponentContextInterface;
use MagentoFrameworkViewElementUiComponentFactory;
use MagentoUiComponentListingColumnsColumn;
use MagentoFrameworkApiSearchCriteriaBuilder;
 
class Custcolumn extends Column
{
 
    protected $_orderRepository;
    protected $_searchCriteria;
    protected $_customfactory;
 
    public function __construct(
        ContextInterface $context,
        UiComponentFactory $uiComponentFactory,
        OrderRepositoryInterface $orderRepository,
        SearchCriteriaBuilder $criteria,
        MagentoFrameworkAppResourceConnection $resource,
        MagentoSalesModelOrderFactory $orderFactory,
        array $components = [], array $data = [])
    {
        $this->_orderRepository = $orderRepository;
        $this->_searchCriteria  = $criteria;
        $this->resource = $resource;
        $this->orderFactory = $orderFactory;
        parent::__construct($context, $uiComponentFactory, $components, $data);
    }
 
    public function prepareDataSource(array $dataSource)
    {
        if (isset($dataSource['data']['items'])) {
            $connection  = $this->resource->getConnection();
            $tableName = $connection->getTableName('sales_shipment_grid'); 
            foreach ($dataSource['data']['items'] as & $item) {
                $order = $this->orderFactory->create()->loadByIncrementId($item["order_increment_id"]);
                if($order->getCustcolumn()){
                    $item['custcolumn'] = $order->getCustcolumn();
                }
            }
        }
        return $dataSource;
    }
}