Eru -> Morgoth -> Sauron -> Witch-King -> Shagrat
This assumes that Shagrat was acquainted with the Witch-King. If that link is not certain enough, then Gorbag needs to be added in, as he was from Minas Morgul, of which the Witch-King was commander:
Eru -> Morgoth -> Sauron -> Witch-King -> Gorbag -> Shagrat
Edit: Strictly speaking, Sauron shouldn't be used under the game guidelines, but I can't see any other way of doing it without using any good guys.