There is not currently an option to work within unpublished themes; however, there is a workaround.
How to preview your Shogun content on an unpublished theme
Using Shopify's Theme Preview feature
You use Shopify's Theme Preview feature to see how your published pages will look once a new theme has been activated. This feature is available in the Themes section of your Shopify dashboard. Click on the Actions menu next to an inactive theme and select the "Preview" option.
The Theme Preview feature will help give you an idea of what content adjustments, if any, you may want to make for the new theme.
Content rendered as a child of a product box typically won't be found in your theme preview, as Shogun creates a file in the theme called shogun-products.liquid which is only created when the theme is first published and Shogun is installed and is required infrastructure in order to render product content.
Section content won't automatically be available in the theme previewer, as this content is added directly to the theme, and this content needs to be published to the theme in our editor before it will appear in the Shopify editor sidebar as an option to add to your templates.
You can preview section content by making the unpublished theme published briefly in Shopify, then going back to Shogun and republishing all of your sections to insert them into the theme's files before switching back to your regular theme.