This page shows the location of the shanty called "Paddy Doyle's Boots"
You can find it above a roof of a house in northern Nassau:
Here is the map:
How to get[edit]
Use Lift to get up to the roof and immediately give chase, you should be able to catch it before it leaves the roof.
Otherwise if you did not catch it just fast travel to the view point in the northwest and try again.