This should get you the names of all such terms in an array
$wpdb->get_col("SELECT DISTINCT {$wpdb->terms}.name FROM {$wpdb->terms}
INNER JOIN {$wpdb->term_taxonomy} ON {$wpdb->term_taxonomy}.term_id = {$wpdb->terms}.term_id
INNER JOIN {$wpdb->term_relationships} ON {$wpdb->term_taxonomy}.term_taxonomy_id = {$wpdb->term_relationships}.term_taxonomy_id
WHERE {$wpdb->term_taxonomy}.taxonomy = 'shape' AND {$wpdb->term_relationships}.object_id IN (
SELECT object_id FROM {$wpdb->term_relationships}
INNER JOIN {$wpdb->term_taxonomy} ON {$wpdb->term_taxonomy}.term_taxonomy_id = {$wpdb->term_relationships}.term_taxonomy_id
WHERE {$wpdb->term_taxonomy}.taxonomy = 'color'
);");
If you want more details other than name, you will have to change the fields to select & also change the function from get_col to get_results
Please ensure that there are no spelling errors in the taxonomy names “shape” & “color” which are used inside the query
References-