Citation :
If your life total is less than 0 and an effect (such as the one from an opponent’s Abyssal Persecutor) is keeping you from losing the game, Death’s Shadow’s ability will actually increase its power and toughness. For example, if your life total is -2, Death’s Shadow gets +2/+2.
Donc oui ça marche. Mais tu perdras plus de point de vie suite à des blessures avec phyrexian unlife.