Shetland wool is from shetland sheep. AFAIK, all "donegal" means is the fiber has flecks in it.
Most wools are going to be a little softer than shetland, but my understanding of the terminology means that a donegal shetland isn't impossible.
Wear a thicker shirt with the shetland. I wouldn't want to wear mine with anything too thin -- though the oxford I have on under it as I type works well.