It is very obvious that Shadow was trying to kill himself, which is unfortunate to me, as he was my favorite character. But at that point, he had already come to the realization that there was nothing left for him in the world, other than Relm, though it's hard to say weather or not he ever realized she was his daughter. If he had, then perhaps he had come to the conclusion that he didn't want his daughter to know that her father was a well known cold hearted killer. If he hadn't, then he was just prepared to go.

He sent interceptor away because he needed to die alone...
Actually, I think he did that so that his friend would survive, not because he wanted to die alone.