What the injury might be is going to depend on what she was doing when she happened to remove the shoe: stepped on it from behind? by the opposing foot? twisted it off during a spinning move? stuck in a hole or under a root? Different scenarios will impact different areas of the limb. Palpating to localize the painful area would be my go-to, then a dialogue with the vet on what diagnostics would be most appropriate based on the apparent location of the injury.
