Board Thread:Questions and Answers/@comment-1982419-20160821015414/@comment-61022-20160822202246

states that the Shadow King is a manifestation of humanities evil, having been born during the first human dreams.

However this is an alleged origin. It's also rumored that he's a multiversal being (meaning that every Shadow King in the multiverse is actually the same individual) (As stated in New Excalibur Vol 1 and it's also been stated that the Shadow King was the first mutant telepath and has been hopping bodies for centuries. (Not sure where that's mentioned but it references this in the marvel.com profile)

That's all these are, rumors, as nothing has been confirmed nor denied. Given the Shadow King's propensity for deception I would suspect that he wouldn't correct people as a means of deviating his foes from discovering his true origins.