Jungle masteries on Sion should be pretty flexible. It might help to follow Phreak's advice and choose one of the 9 keystones you want and then build around that. All three of the Resolve Keystones are good on Sion, as long as you think you can hit champions after 4 seconds in combat. Deathfire Touch in the Ferocity tree is okay if you build some AD instead of straight tank, but the other two aren't very good for Sion. In the Cunning tree, Stormraider's Surge is good if you can get a combo onto squishies, and might even proc during your passive, which would be awesome. Thunderlord's Decree adds a little bit of damage to your initial combo, but won't help you in longer fights. Windspeaker's Blessing increases your shield strength, but I wouldn't recommend it.
To answer your question: % health is almost always going to be better on Sion. Even in the jungle, you should be able to get enough bonus health from your W passive to get one of the highest "base" health champions. You should probably be building Cinderhulk, because it gives 15% increased bonus health, which includes the health you get from your W passive. % increase on shield and healing (including regen) does make your shield slightly stronger and increases the lifesteal from your jungle item and your passive as well as your base regen, but Sion is built around health-stacking, not around his shield or passive.
Personally, I like going 0/12/18, with Wanderer, Runic Affinity, Merciless, Dangerous Game and Unyielding, Explorer, Veteran's Scars, Insight, Legendary Guardian, Bond of Stone. I build Cinderhulk and Titantic Hydra, and then pick up items with health and armor or mr, like Randuin's, Deadman's Plate, Locket of the Iron Solari, Banshee's Veil.