"I feel down an elevator shaft" = accident or you were working in an elevator shaft and fell to the bottom or onto the roof of the elevator cage where people travel. "I fell down" = you fell onto the ground, you would only fall "in an elevator shaft" if you were working inside one or were somehow at the bottom of an elevator shaft, and then you fell.

“To fall down something” I fell down the elevator shaft. If he’s not careful, he’ll fall down the stairs. “To fall down” (note “down” can often be omitted) I tripped over the root and fell down. I fell down in the kitchen. (I was in the kitchen when I fell down”)

Definitely correct: "Fell down an elevator shaft". "I fell down in an elevator shaft" just sounds strange. I think it is because in the sentence, "down" is used as an preposition and not an adverb. The result is you have two prepositions next to each other, which is why it sounds so strange.

If you walked through an open elevator door and fell some distance, you would say "I fell down an elevator shaft". If you were already in the elevator shaft, say you were at the bottom for some reason, and then you fell down you would say "I fell down in an elevator shaft". Obviously, unless you are an elevator maintenance worker or similar, the former will be the one that is more likely to be correct. In the first sentence "fall down" means that you were literally falling in the down direction. In the second sentence "fall down" means something like "fall over" and "in" serves to indicate that.