Nay the Fog aren't going to kill Shirley's dad, there'd be no point. After all every thing I've seen so far say's that Youko and Yuzuki wouldn't care if they or their subordinates killed him, at most it'd probably rate an "Oh, ah . . . ops? Well at least now Shirley won't go all crazy on Lelouch if she finds out he's Zero." there wouldn't be any drama or real consequence since as far as I can tell Shirley was only ever important because Lelouch cared about her. Now if the Fog accidentally killed Shirley herself that would be a whole other can of worms.