Does Athenes Passive Work With Malz's Shield?

No. It's not actually a shield, it's more like a banshee veil

Even if it was a real shield it wouldn't work (i.e. Blitz passive). Athenes only works on ally heal/shields, not self heal/shields.

A shield is a physical augmentation of the health stat. Barrier, Janna, Ivern, Lux, Orianna, etc. Anything that adds physical health is a shield. Compare this to someone like Galio who has a shielding effect, but his actual bulwark is not a shield, which is why this doesn't work with him either, even when casting on an ally.

So, no. Malz doesn't have a shield. He has a shielding effect, but definitely no shield. Plus, it's self, so no healx2.