You can't rely on the shadow early game since its the only tool you got as an escape. Only Zed has this problem, all other assassins (Akali, Lee Sin) have a proper escape and they minimize energy through other means without relying on their escape tools.

Solution to this problem with Zed is just reduce the energy costs of his abilities in early ranks.

Zed's only problem is that he doesn't have a reliable way to get energy return.

Max Shadow second/first. Also, the trick is learning to use Shadow defensively and offensively and knowing what to do when it's down. I personally farm with Raror but if notice the enemy Champion getting bold or is kind of slow I'll use Shadow to double Razor them. While Shadow is on CD I'll play a bit more passively even giving up 1/2 cs because I know once Shadow is up I can push out a wave in no time. Also ward. If you can see a Gank coming you can prepare.