You can use contact paper or they make a Frosted spray paint. Walmart, Hobby Lobby etc has it. It's about $9 a can. You will need to apply numerous coats but it does work.
Use rabbit goo brand cling on the non shower side of the glass.
I would use a decorative frosted film on the outside of the shower door. You can find them at most home improvement stores and on Amazon.
We frosted ours with clear plastic cling that is made just for privacy issues. You wet it and put it up. It will stay. Also, you can get the frosted cling with various colors in it. Here is a window we did to our front door, yours would be easier with just a rectangle. https://www.hometalk.com/39287626/ez-stain-glass-windows