Shunt references behave similarly to a Zener diode through much of the voltage range, in fact they are often represented as a diode symbol in schematics. You're finding that current falls off in a parabolic manner as voltage falls off similar to a Zener diode, not surprising, but that's not a normal operating range for a shunt reference.
Like I said before, for an indicator to provide an off or on visual indication you need a digital signal. Zener diodes and shunt voltage references are analog devices. You need to use a comparator or voltage detector.
Recently I've come across a device that's pretty simple to wire and has a detection range 400mv to 20V. Check out the Texas Instruments TPS3700. I'm actually doing a 2S voltage detector circuit right now using that part, not for an e-cig though.