No. Outsider is a type. If it's of a type that isn't Outsider, it's not an outsider. If it's of the type Outsider, it's an outsider. What plane something is native to is a separate matter (which is to some degree represented in the rules by the subtypes (native) and (extraplanar)). There are humanoids native to the Astral (githyanki, buommans), and outsiders native to the Material (tieflings, aasimars).
Planar Shepherds can wild-shape into the following things:
1) Anything with the animal type, subject to size/HD restrictions (from Druid, although Planar Shepherd advances it), or
2) from 3rd level on, anything that is all of: a) a magical beast (including templates that change type to magical beast), b) native to the Planar Shepherd plane, c) within size/HD restrictions, or
3) from 9th level on, anything that is all of: a) an elemental or outsider, b) native to the Planar Shepherd plane, c) within size/HD restrictions.
When wild-shaping into an animal or magical beast, you get (Ex) special attacks but not (Ex) special qualities or any (Su)/(Sp) abilities. When wild-shaping into an elemental or outsider, you get all (Ex), (Su) and (Sp) abilities.
You don't get to wildshape into anything native to your chosen plane. If it's not an animal, magical beast, elemental or outsider, you can't wild-shape into it. You also can't wild-shape into templated elementals or outsiders (e.g. picking the Far Realm doesn't allow you to wild-shape into a pseudonatural creature, because that's an outsider), though you can wild-shape into templated magical beasts if
they were something else before the template was applied (e.g. picking the Seven Mounting Heavens of Celestia allows an animal or vermin with the celestial template, since that changes their type to magical beast and they're native to that plane).
a) the Elemental Plane of Cold from Manual of the Planes doesn't exist in the standard D&D setting (Greyhawk). It's in the appendix of variant planes; those don't exist unless your DM builds a custom cosmology including them (excepting the Far Realm, since that's used in other books such as Complete Arcane and Lords of Madness).
b) Planar Shepherd is from an Eberron book, and thus it's up to the DM (more so than usual
) whether it's legal in a setting that isn't Eberron. If you are using Eberron, you have to pick a plane from Eberron's own cosmology, i.e. one of the following:
Plane of Shadow
Daanvi, the Perfect Order
Dal Quor, the Region of Dreams
Dolurrh, the Realm of the Dead
Fernia, the Sea of Fire
Irian, the Eternal Day
Kythri, the Churning Chaos
Lamannia, the Twilight Forest
Mabar, the Endless Night
Risia, the Plain of Ice
Shavarath, the Battleground
Syrania, the Azure Sky
Thelanis, the Faerie Court
Xoriat, the Realm of Madness