I think your terminology is off: in emacs-speak frame means what people normally mean by window in a graphical environment. (That is, the thing that has the close, minimize and maximize buttons and a titlebar, etc, is the "frame".) Whereas the things that show up when you do a C-x 3 (split-window) are called windows, and when you do something like M-x shell-mode you get a new buffer, which may or may not be in a new window.
Color themes are always frame-global (as far as I know, and it's certainly what the documentation suggests) the variable color-theme-is-global determines whether a single theme propagates across frames.
I'm thinking that the closest thing to what you want is something like (completely untested, probably broken):
(defun shell-mode-in-new-frame ()
(interactive)
(select-frame (make-frame))
(color-theme-monokai-terminal)
(shell-mode))
Although this does create a new frame, which isn't what you want.