The 19-year-old, who joined the Premier League side from Yeovil Town earlier this year, can represent the Harimau Malaya through his mother, who was from Tangkak, Johor.
The London-born midfielder is also eligible to play for England or China, his father's country of origin.
However, having just joined Wolves, his international future was not a priority for him yet.
"I'm open to anything, really. I will be grateful if the opportunity [to play for Malaysia] comes, but whatever happens, happens.
"I just joined the club and I am very excited to be part [of the project]," he told Astro Supersport host Adam Carruthers.
Although Shio admitted he was not well versed in Malaysian football, he enjoyed his connection to the country.
"I am an only child, but I have a big [extended] family in Malaysia.
"They were very pleased for me when they heard the news of me signing for Wolves, and my cousin actually said I shoud play for JDT [Malaysian Super League champions Johor Darul Ta'zim] one day!
"Ideally I will go back [to Malaysia] at the end of this season with my mom.
"I was actually in Malaysia last year, going to places like the Jonker Street, and I loved the place," he said.
