Here's why:
* Common nouns are not capitalized: "Shop" is a common noun, a general term for a place where things are sold.
* Proper nouns are capitalized: "Stationery" is part of the name of the specific shop.
* The "shop" is descriptive, not part of the name: You could say "The stationery store" or "The stationery boutique" and the meaning would be the same.
So, the correct capitalization is Stationery Shop.