There is no interaction. Either you return the card to the battlefield, or you exile the card and make a 1/1 copy. You can't have both.
As either ability resolves, they check whether the object that triggered the ability (the creature card that just went to the graveyard from the battlefield) is still in the zone it is expected to be. Both abilities expect the card to be in the graveyard, but both also move the card to another zone (battlefield and exile, respectively) as part of their resolution. Therefore, if you choose to exile the card with Nightmare Shepherd, Marchesa's ability will fail to find the card and do nothing.
Fundamentally, this is the rule that covers this situation:
400.7. An object that moves from one zone to another becomes a new object with no memory of, or relation to, its previous existence. [..]
There are exceptions, so some abilities can track an object that moves zones, but they don't apply here.