Maybe, but I really doubt it's him being a relative of the Shogun. We just had Sanji being the son of one of the most powerful characters of the underworld. So having immediately after that the revelation that Zoro is related to the Shogun of Wano, is really repetitive and IMO would ruin his character as Luffy and Zoro are supposed to be genuine people from East Blue.
However I do deem it possible that there is some kind of connection between Zoro and Wano that will grant us more insight in Zoro's past. Wano in fact originates from a short story Oda wrote before he started One Piece about a samurai named Ryuuma who slew a dragon. Now this story came back in the Thriller Bark arc where zombie Ryuuma got introduced. Now this is the same guy, they even made references to the slaying of the dragon, only this happened centuries ago in the current plot. Now Zoro took Ryuuma's sword, something he had a short conflict over with Kinemon and to top it off Ryuuma, when he was alive, and Zoro have near identical looks.
So that there's a connection between Zoro and Wano that Oda wants to elaborate on, is very likely. Though personally I think it will be via Zoro's master, Koshiro. He always gave the impression of being a meek and weak swordsman, but how does a man like that bring forth a monster like Zoro? When Zoro fought Daz Bones, he had a flash-back of his master trying to make Zoro understand the concept of not being able to cut a paper, but being able to cut through steel. Now at that time Zoro didn't understand and thought it was sad that his sensei couldn't even cut paper, but during the fight with Bones he understood it and defeated him. This implies that Koshiro is also able to cut through steel and thus is much stronger than he appears. Now I find it plausible that Koshiro himself might originate from Wano and that currently his star pupil is returning, completing the cycle.
They already explained his back story during when zoro got the cursed master sword
That's really not a part of his backstory. His backstory was his rivalry with Kushina, who eventually died before Zoro even succeeded once in beating her, which resulting in him swearing he would carry both of their dreams.
