There is not currently an option to work within unpublished themes; however, there are a couple workarounds.
How to preview your Shogun content on an unpublished theme
Using a Staging Store to preview your new theme
One option would be to set up a staging store to install a new theme and build pages within it. For users on the Pro plan, we would then be able to copy any standard content pages from the staging store to the live store. Further details on that process are covered in this guide:
Using Shopify's Theme Preview feature
The other option would be to 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.