Yes I believe the issue is with the unique configuration of the UARTs/Serials on the YUN board.
You could try connecting the shield to the YUN via jumper wires. Then you could try using SoftwareSerial.
At a minimum you will need to connect the D7 (for enabling the NBIoT module), 3.3V, and GND pins.
Additionally, you will need to connect the D0/D1 on the shield to the two pins, on the YUN, you are using for the software serial.