All I can see about that is that it's a rumor... interesting one and very plausible but nothing that was definite:
"When Roy passed away at the close of 1988, Shannon was rumoured to replace Orbison in the Traveling Wilburys. However, the rumour remains neither confirmed nor denied by the remaining members of the group. The world can but only guess what might have evolved."
http://www.classicbands.com/shannon.html
