I've taken down a few of the Shiny Zeraora raids, and they're definitely not for the faint of heart. They pack Plasma Fists/Discharge/Blaze Kick/Close Combat/Outrage/Work Up, so their coverage is pretty stellar. A few Pokemon in particular have stood out above the rest.
Quagsire - Immune to Plasma Fists/Discharge, resists the Fire type attacks, and has Unaware to ignore boosts to mitigate damage from Close Combat and Outrage. Obviously the turns that it nullifies abilities can be a bit painful, but in practice this doesn't happen often enough to diminish Quagsire's usefulness. It's not gonna be doing too much damage but it'll survive and break those shields.
Gastrodon - Same premise as Quagsire, but minus Unaware. However, to make up for it, it does have access to Clear Smog to wipe away the boosts. Just be aware that it does wipe away defense drops from Close Combat/Shield Breaks too, but surviving is more important.
Claydol - An unorthodox Pokemon but one who's been clutch in beating Shiny Zeraora. Immune to Electric and Resists Close Combat, but its support moves are what help. We've been using it as a Trick Room user; Zeraora outspeeds every relevant counter, so Trick Room makes sure you're breaking those shield bars before having to endure its onslaught. For added support it can utilize Reflect to mitigate damage further; aside from Discharge all its attacks seem to be physical, and ground typing will take care of Discharge.
Rhyperior - This one only works with Buff removing support, because it won't be able to stomach Close Combat after getting a few boosts. However, if you can keep the boosts in check, then Solid Rock and High Defense can allow it to take a Close Combat or two, and of course it's immune to Electric. Its defense is high enough to not really care about Outrages either, but again, this is contingent on keeping those buffs in check.
Rhydon - Same premise as Rhyperior, but with no Solid Rock. However, it does have access to Eviolite to boost its high defense to pretty ridiculous levels. But if you don't keep the buffs in check, then you're gonna have a bad time. However, no Solid Rock allows it to use Lightning Rod, so it can help support other teammates who aren't Electric Immune
Alola Marowak - Lightning rod gives it an immunity to Electric, it resists fire, and is immune to Close Combat. It still has to worry about Outrage but its defense is decent enough to take a hit or two. Ability nullifying can be a problem but it seems to use that sparingly. Regular Marowak can work in a pinch too in that its electric immunity isn't ability dependent, but it lacks the Fire Resistance and Fighting Immunity.
Runegirus - Although it has to worry about Dragon and Fire, it is immune to Electric and Fighting, and its bulk is decent enough that it can take a hit or two is you're keeping buffs in check.
There's a few other niche picks that can work, such as Marshadow for buff stealing, Grimmsnarl for Prankster Reflect, etc, but they generally lack the longevity needed to stomach hits, especially since they're not immune to Electric so without Lighting Rod support they can be risky. Generally avoid things like Excadrill, Flygon, etc, because they get ripped apart by the coverage moves and lack the bulk to survive.