We know that Talia became estranged from Ra’s and started her own version of the League of Assassins and one of her students was Yao Fei. Talia seemed to talk of Yao Fei with pride and I think there may have been more to their relationship besides just teacher and student. I think Talia and Yao Fei had a romantic affair and that led to Shado’s birth but because Yao Fei didn’t want Shado raised in the life of the league, he and Talia separated so he could raise Shado himself, while she continued the league’s ways until their deaths. Maybe that's why Talia really sought Oliver out? Maybe she learned of Yao Fei's efforts to protect Oliver and what Shado meant to him, and decided to turn this grief stricken outcast into a weapon to carry on their legacy?
I’m also thinking this because of one thing in Arrow that has bugged me for 2 years: Shado’s twin sister Mei. Not once did Yao Fei nor Shado mention Mei and Shado’s very presence on Lian Yu was because Edward Fyers wanted to use her to motivate Yao Fei into following his orders. Why not abduct Mei too and have double leverage? Also Mei mentioned that Shado and Yeo Fei vanished 3 years before, but Shado mentioned that before she was abducted Yao Fei had already been missing for years. I have suspected for some time that Mei could actually be Shado herself but without her memories, but I could never figure out why, even with the existence of the Lazarus Pit, would someone would bring her back? However if Shado’s mother was Talia al Ghul then she could have brought her daughter back and wiped her memory, and gave her a new identity as Shado’s twin sister so she could live a normal life away from the league. Talia taught Oliver about having duel identities and Ra’s tried to brainwash Oliver into abandoning his identity to replace it with another so what if Talia did something similar?
There really isn't much else to go on but I don't think they'd mention that Yao Fei was Talia's student unless there is some deeper meaning to it. For one thing if Yao Fei was a Chinese military general then why was he in the League of Assassins? Maybe Mei was simply just an oversight of story material on the writers part, wouldn't be the first time, but they have left questions that are answered years later. Look at Nyssa and Sara, it bugged me how Nyssa could have met Sara on Lian Yu but we saw 2 years later that Nyssa was directed to Lian Yu by Ra's because Sara's older self instructed him to do this. Even if the Mei thing is grasping at straws I still think it would be sad but interesting if Shado turned out to be Talia's daughter, who was indirectly killed because of Oliver which may give her more reason to hate him.