I guess either because Shinnok ended up more powerful than the One Being himself or the One Being decided to spare Shinnok in thanks for helping him destroy the Elder Gods.
I took it that he would be devoured as well, but he didn't care as he was able to get revenge on the Elder Gods who cast him out. But I suppose it's possible that the big guy kept Shinnok around too.
I guess that since Shinnok brought the One Being back by merging every being and every object, the One Being decided to spare Shinnok as a sign of gratitude for bringing him back, and he devoured only the other Gods and not Shinnok.