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Final Fantasy Wiki said:Shadow's daughter
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Chibi Relm by Amano
There are many hints that point at the possibility of Shadow being Clyde Arrowny, Relm's father. Although Shadow's dog, Interceptor, usually doesn't like people, he seems to like Relm, as if he had seen her before. In one of Shadow's dreams, we see Clyde (whom we are to believe is Shadow's true identity) leaving the town of Thamasa with Interceptor following him. He then tells the dog to stay together with the girl (the kanji used can also be a humble form for "daughter"). His statement at the final battle, when he says that he has discovered friends and family, is notable too.
Also, during the ending of the Final Fantasy Anthology re-release, just before Shadow destroys the ghosts that stand in his path, there is a single video frame where the artwork of Relm can be seen. Shadow seems to forget all hesitation after this and charges at the monsters.
The connection is all but said outright in the GBA release, during Shadow's dream after being rescued in the World of Ruin, when explicitly states he has a daughter and that he wants her to live peacefully in Thamasa.
I believe he comes back though in the GBA version. There is the Dragon's Den when you defeat Kefka. I assume he comes back because in the FFIV and FFV GBA versions all characters that were supposedly dead come back.