The issue is that, since Shopify doesn’t support this (and from a quick google search, Bigcommerce also doesn’t support this) there are a bunch of issues with this approach. The cart breaks, payment will likely not be PCI compliant (well maybe, but it seems error prone) and your SEO will probably be worse instead of better since now there’s duplicate content at example.shopify.com and example.com/shop.
SEO doesn’t penalize you that much for linking to a subdomain. It can be slightly slower than a subdirectory but, due to the technological limitations, you can’t put shopify in a subdirectory.