So I'm doing the quest "Mourning Never Comes", in which I have the option to also kill Nilsina Shatter-Shield. However, no marker for her location appears on my map, and I've searched everywhere in Windhelm and can't seem to find her. Is there anything that can be done to solve this issue?

Don't kill her if you haven't completed the quest "Blood on the Ice" yet, because killing her will "break" that quest. Breaking "Blood on the Ice" will prevent you from buying the house in Windhelm. If you have completed it though, kill away.

As for where she actually is, she can be found roaming the streets of Windhelm talking about her sister who was murdered by the Butcher. I usually wait until after hours (11pm-4am), then break into the Shatter-Shield house. She's usually on the second floor sitting in front of the fire.

My advice is to be extra aware of the people around you. You might be missing her. Go around Windhelm during the day at least three times to make sure you didn't miss her. (Except the Grey Quarter. She's never down there.) Also check inside businesses like Candlehearth Hall or even the Shatter-Shield's shipping company HQ. (I've personally never seen her at the HQ, but who knows.)

Beware of this for sure.

If you have not done the civil war, you can still buy the home afterwards if a new jarl is appointed in windhelm.

I've completed Blood on Ice before brotherhood quests and STILL couldn't buy the home (might have been that Ulfric knew I was imperial and didn't want me in his city) but removing him as Jarl allowed me to buy from the new jarl.

As for your target I always found her within the city market area or followed her to her house.

Not to list spoilers but after you kill her, go back to the house a few days later and go inside... something inside made me really sad I had to do what I did

You can get the key off her dead body and still start it!!!

You have the quest selected in the journal? Was she still alive before you started the quest, you have not managed to get her somehow? I never killed her when I did the quest, so never noticed where she was. The next character who does the Dark Brotherhood quests is definitely killing her though, I am tired of her constant whining.

Thanks for the information. I really appreciate it.

I almost always found her in her house. Late at night, either sleeping or sitting in front of the fire. An easy kill. Also the key you'd need (if you want to do Blood on the Ice) is on her body. You can also pickpocket it from her before you slice her throat.

And I did go back to her house later. Not sure if I would've murdered her. Since we are on the topic - what an excuse to have someone killed. I mean really.. Muirl's ex screws this family over and she's upset cause the sister won't talk to her? But a contract is a contract.

And.. well - okay I did kill her again on another play through. But still... I felt bad.

edited: correct the sorry excuse for a human being's spelling of her name.

Well, technically the whole family treated Muiri like a family member and then turned in her after Allain turned out to be a thug. I bet in the future other people will think twice before they behave the same way.