I found a Radio Detective Story Hour from the 50's, but you're right, this is from the 30's. I did find a few seconds-long clip of Frank Redick as the Shadow from that show on the Shadow's Sanctum site, but that's it. He sounded creepier than anyone else to take on the role. He's the reason the Shadow took off. Everyone wanted to read the Shadow's adventures (and at that time he had not a one) instead of the stories he introduced in Detective Story Magazine.