I don't recall a shrine, but the game actually states when you're at the final save point of the game, which by the way has 4 (or was it five?) mini bosses before it, so if you haven't fought those you still have a bit more to go.
But yes, aside from there being a Velvet Room door at the beginning of Mementos' depths, you can also fast travel to the entrance of Mementos proper to heal there if you want to.
I think they refer to the big tower looking thing in Shibuya as a shrine. I may have my words mixed up there. But yeah, I have fought the four mini-bosses and I'm at the save point afterwards. Hopefully there's a Velvet Room where I am.