In fact, the only way to get a thunder shield in the coloseum is to bet a gauntlet, a genji glove or a genji shield.

The only enemy from which you can steal a Thunder Shield is a Steroidite in Kefka Tower. But as you said, and I learned something today, you can Metamorph a "Dante" to get a Thunder shield.

That was the trick in the question... Well, you answered correctly so it's your turn.