"Do you have any idea..." is more natural than 'an'.
Either 'shipped' or 'despatched' would work.
As for the choice of modals, it depends how definite the order is.
'Could' sounds quite tentative: you might say this if you haven't placed an order yet. You might say "Have you any idea when my order could be shipped?" if the answer will determine whether or when you place the order: for example, if you order today, it could be shipped this evening.
'Will' sounds more definite. We'd presume that you've already placed the order and you're asking about the schedule.
'Might' is another possibility - less conditional than 'could' but less certain than 'will'.