I've looked everywhere, last I left him at Markarth, now he's gone!
I've fast travelled and checked every stable, he's gone!

No way - that's harsh eh?
I always 'worried' about Shadowmere (too many hours playing Oblivion, heheh) but he sticks to me good, I can't shake him.
So I've stopped worrying.
Anytime I fast travel, it picks him up, wherever I left him, no problem...
So it seems your situation is very unusual.
I read somewhere that he goes back to the original DB location (where you first got him) if you're separated for any reason.
But (so far) I have been unable to make that happen...
Regards

If you're playing on PC, open the command console with the ~ key. Then type prid 0009ccd8 and then moveto player to bring Shadowmere to your location. Found this on uesp.net and have used it successfully.

check the sanctuary's pool outside, if he is not there then i got nothing