I found that there were quite a few Christmas episodes of The Shadow radio show. I've only been able to listen to two of them (Cold Death and Joey's Christmas Story). Here's a list of The Shadow's Christmas radio programs.
- Cold Death (Season 1, episode 13 aired 12/19/37)
- Give Us This Day (Season 2, episode 18 aired 12/25/38)
- The Stockings Were Hung (Season 3, episode 14 aired 12/24/39)
- Joey's Christmas Story (Season 4, episode 13 aired 12/22/40)
- Merry Christmas by the Thousand (Season 8, episode 14 aired 12/24/1944)
- Three Crimes on Christmas Eve (Season 9, episode 16 aired 12/23/45)
- A Gift of Murder (Season 11, episode 15 aired 12/21/47)
- Murder Marked Merry Christmas (Season 12, episode 16 aired 12/26/48)
- The Christmas Ghost (Season 13, episode 15 aired 12/25/49)
- Out by Christmas (Season 14, episode 15 aired 12/24/50)
- The Case of the Santa Claus Killer (Season 16, episode 15 aired 12/21/52)
From what I can see, some of these episode recordings have been lost so they are no longer available to listen to. I really enjoyed listening to Cold Death and Joey's Christmas Story - each one was different but awesome Christmas stories. Cold Death was along the lines of Scrooge and A Christmas Carol while Joey's Christmas Story was a bit more light-hearted.
Hopefully you can find time to listen to one of these Shadow Christmas episodes this holiday season.