Shard is found inside The Wailing Maw solo dungeon. This dungeon is made unique by its bright ice crystals. Dremora enemies inside are level 50 and so is their boss Marwoleath.
Collectible is on ground between two large white/blue stalagmites, southeastern part of the cave. Just because the nearby crystals shine so bright skyshard’s shine is not as visible. For some reason this shard may appear as if it is collected even before you collect it (could be a bug from the beta).
Note: In order to reach this part of map you need to complete the main quest “The Army of Meridia”.
Find and enter The Wailing Maw solo dungeon.
Between two large ice crystal stalagmites formations.
The Wailing Maw collectible map location.
Sand Kingdom Moons - Super Mario Odyssey Power Moons