Sorry to hear of your loss Nessie.

I don't think it would be rude at all by not attending the shower.
My wife and I haven't really included ourselves in anything "kid" related (no zoos, parks..baby showers) since our daughter passed away on delivery day. And all of our friends realize what's going on...they know we are not avoiding them in bad spirits.

And we can relate with the bad news traveling quickly...though sometimes not fast enough. The morning after delivery day (stillborn) our neighbors came over with baby gifts and toys. Advised them of the bad news and a few hours later, the same neighbors brought flowers. That was a little awkward.

Simple face is, you get to do what you want. Healing comes first...

Again, sorry for your loss and good luck.