From a quick perusal, Shambhala seems an idea of (something like) heaven from pre-Buddhist Tibetan culture, which was adopted by later religions when they were introduced to the area. Some believe the idea of Shangri-La originated with the concept of Shambhala.
It has also been adopted, in part, by some Western New-Age groups. As usual, there are just bits and pieces cherry-picked to fit a narrative, in stead of adopting the religion as it stands in Tibet.
Thanks to the widespread use of the term very loosely based on its origin, exactly what it is cannot be nailed down so well without first understanding the person or group using the term.