 Solution

Yes: regular languages are closed under the shuffle of formal languages. The construction must allow letters common to both alphabets to be assigned to either input word.

Take complete deterministic finite automata ${\mathcal{A}}_i=(Q_i,{\Sigma }_i,{\delta }_i,s_i,F_i)$ recognizing $L_i$. Construct a nondeterministic finite automaton on $Q_1\times Q_2$ over $\Sigma ={\Sigma }_1\cup {\Sigma }_2$. Its initial state is $(s_1,s_2)$ and its accepting states form $F_1\times F_2$. On a letter $a$, its possible moves from $(p,q)$ areBoth moves are allowed when $a$ belongs to both alphabets. They may coincide; that causes no difficulty.

For every run, record whether each move updated the first or the second coordinate. The letters assigned to each coordinate, in their original order, form two words $u_1,u_2$. The final coordinate states are exactly the states reached by reading $u_i$ in ${\mathcal{A}}_i$. Thus an accepting run expresses the input as an interleaving of a word of $L_1$ and a word of $L_2$.

Conversely, given such an interleaving, assign each input position to the word from which it came. The corresponding choices of transitions form a run ending in $F_1\times F_2$. This proves equality between the recognized formal language and the shuffle of formal languages, in both directions. No assumption of disjoint alphabets is needed. If one contributing word is the empty word, no move need update that coordinate; the initial pair is accepting exactly when both empty words are accepted.

Apply the powerset construction to this nondeterministic finite automaton to obtain a deterministic finite automaton. In particular,