oops, I now see you said 'shed' and not 'garage'. There can be a difference because a garage can be attached to the house which shelters the garage and based on slight heat transference can cause the garage to be warmer than the shed.
I don't have experience with this with peonies, but other plants. I decided to try using my unheated greenhouse to store some potted plants. I thought this would be better. Wrong! What happened in several of those situations is that the plants actually dried out and died. [I just couldn't force myself to go out and monitor them in winter, and carry jugs of water to give them a drink.]
But peonies, if they have enough of a chunk of root (for lack of a better term), then they might survive the winter dried out.
