if the shoes are labelled as 'sheepskin', (suede feel and look on the outside, and wooly looking on the inside) that means it consists of pretty much what it says- sheeps-skin (think person scalp with hair attached).
if they're non sheepskin, but are made of sude/leather/fabric uppers and wool lined, that means they've stuck wool to leather or suede or fabric. its less clear in that case- depends if the wool is sheerings left over from sheepskin rug production (excess clipped from a sheepskin as part of processing), or the product of sheering- but obviously seude and leather (plus nubuck, pigskin, etc) are 'skin'.
either way, they're products of a cruel trade. whether or not the sheep was bred and killed specifically for the shoes or not, they all end up the same way sooner or later.