What is Tweaks mean by saying I have no shell? What is it talking about?
This a bit of confusing terminal-ology (pun intended) on Gnome’s part.
Shell in this case refers to the theme used for “Gnome Shell”. “Gnome Shell” consists of the elements of Gnome that are not GTK (Legacy Applications) or libadwaita (newer applications).
It does not refer to the login shell – which is bash in your case. (Bash is the default, BTW.)
The “none” in this case refers to the fact that the dialog box in question is empty. I believe that box allows one to install a Gnome Shell theme. However, it’s been a while since I’ve used gnome; so, I could be wrong.