Does vegetable shortening have pig fat in it?

No, vegetable shortening does not contain pig fat.

Vegetable shortening is made from vegetable oils, such as soybean oil, cottonseed oil, palm oil, and canola oil. It is usually hydrogenated to make it solid at room temperature.

While lard (which is made from pig fat) was commonly used as a shortening in the past, modern vegetable shortening is entirely plant-based.