In normal cases, Shu Yun's second ability can target Shu Yun itself, since Shu Yun, the source of that ability, is a "creature" that's blue only, even if it has protection from red and even though it has a (R/W) mana symbol (which is red and white) in its second ability (C.R. 107.4e, 202.2, 113.7, 115.1d; review C.R. 702.16b).
(An object's color is not to be confused with color identity. In this example, Shu Yun's color identity would be white, blue, and red since the Shu Yun card is blue and has red and white among the mana symbols in its rules text [C.R. 903.4, 207.1; see also C.R. 202.2 and this thread]. By contrast, mana symbols in an object's rules text don't contribute to that object's color [C.R. 202.2]. However, an object's color identity is not what protection from red [or from black] cares about [C.R. 702.16].)
(An object's color is not to be confused with color identity. In this example, Shu Yun's color identity would be white, blue, and red since the Shu Yun card is blue and has red and white among the mana symbols in its rules text [C.R. 903.4, 207.1; see also C.R. 202.2 and this thread]. By contrast, mana symbols in an object's rules text don't contribute to that object's color [C.R. 202.2]. However, an object's color identity is not what protection from red [or from black] cares about [C.R. 702.16].)