The WooCommerce template files are different from the WordPress Template files look at this to see how it works and the template file for shop pages is archive-product.php
Usually, all themes provide a separate sidebar area for the shop page, did you check if your theme is compatible with WooCommerce?
If yes then you should have a sidebar available under Appearance->Widgets with name similar to ‘Shop Sidebar’
How to override a template?
To override the shop page,
copy: wp-content/plugins/woocommerce/templates/archive-product.php
to wp-content/themes/your_theme_name/woocommerce/archive-product.php
and then make the necessary changes to the template in your themes folder.
What happens is WooCommerce checks for the archive-product.php file in theme directory first and if it finds a file in woocommerce/ directory then it will use that file instead of the default one.
So now you have to edit the file inside your_theme_folder/woocommerce to make any changes.