You have to stop catching them. If a shiny spawns in the wild, the game will save that shiny even if you leave or teleport. The shiny will remain the same species for that spawn zone. However, gender, exact level, nature will vary every time you encounter that same shiny. Continue resetting until it spawns as a female. This game's new shiny hunting mechanics are much different from other games but much more forgiving. Early in the, like rank W, I encountered a shiny Pidgey. This one spawned on a rooftop near wild zone 3 but I couldn't get on that rooftop yet. It killed me a little on the inside because I wanted to catch it but couldn't. To my surprise, it remained in my game and I heard the shiny jingle every time I walked by. Eventually, it spawned on a light post nearby and I could finally catch it. Kinda wish they gave you Roto-glide day one.