Shagomir

We actually have a WoB that indicates otherwise:

I think the way that Nazh talks about Cognitive Shadows reverently and is sort of upset that Kelsier was able to become one himself without following the ritual indicates that (some) Threnodites no longer consider the Shadows to be evil, and that they actively create them for some reason. It's possible that Nazh comes from a Pre-Evil Threnody, as Mistborn is relatively early in the Cosmere timeline, and Nazh is already working for Khriss. That would mean that the Shades in Hell are some degenerate form of whatever it was that the previous inhabitants in Hell/Threnody did to create Shades/Shadows.