I think that might be a bit too stiff. The styrene used in lampshade making is almost paper thin...very floppy. That says it's suitable for vacuum forming with a sag temp of 80 degrees which suggests it's quite stiff.
Good point. Is painting the inside of a shade safe? E.g. Annie Sloan (who says their paints are not flammable but not classified as fire retardant paints. They are safe for use of fire surrounds, radiators and hearths")