This page shows the location of the shanty called "Rio Grande"
You can find it on a tree in the south part of Cat Island:
Here is the map:
How to get
Just climb up the tree (there are a bunch of rocks near the tree that you can use to climb) and chase the Shanty.
You should catch it on one of the nearby trees:
Otherwise you can travel to the town viewpoint to have it respawn, then try again.