With the Guernsey champions locked at 1-1 after extra-time against their Jersey counterparts Grouville, the final went to a penalty shoot-out and Sheppard saved the spot kicks of both Callum Barry and his opposite number Garry Lloyd before Jack Da Silva blazed his over the bar for the visitors.
Saints, in contrast, were perfect with their penalties as Alex Ward, Tito Guimaraes and Jacques Le Gallez all found the corner in a 3-1 shoot-out success.
Earlier, Frazer Maginnis had given Saints a sixth-minute lead before Robert Martins-Figueira had equalised in first-half injury time.
'Absolutely, delighted. Yeah, it felt like a long night,' said Saints coach Leon Meakin.
'I thought Grouville were superb for long periods, started the game really well. It took us a long time to grow into it and get into the game. But when we did, I thought we finished so strongly going into extra time.
'I was so confident going into penalties, even though I don't think I've ever won one before, a penalty shoot out as a coach.
'So, yeah, just fantastic to win it. One of the goals at the start of the season was to win an inter island competition.'
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