A Prison Service source said that during a recorded telephone conversation with his wife, Primrose, the night before his death, Shipman showed no indication he was depressed or planning suicide.
Shipman was not on suicide watch at Wakefield, although he briefly had been at two other prisons earlier in his sentence.
It has also emerged Shipman applied for a visiting order on Tuesday for a social visit, thought to be from his wife, to visit on Wednesday on what would have been his birthday.
The application had not yet been considered when he died but Prison Service sources said there was "no reason" the visit would have been refused.
Mr Shaw, the new Prisons and Probation Ombudsman, told Radio 4's World at One: "What I will need to investigate is whether there were any warning signs at Wakefield in the case of Shipman and whether there were any slip-ups in terms of proper procedures.
He never showed any remorse or any guilt and that door is now closed to us
Jane Ashton-Hibbert Granddaughter of Shipman victim