Do not put the leveling material between sheets. When you screw the second layer through, it's likely you'd crack it and that may cause voids and crunching sounds.
If you're going to pour a self-leveler over the floor, I'd consider doing that in the area where the pan is. Thinset will stick to it fine. If you don't want to do the heating layout before the shower pan is installed, you can make a dam with a 2x4 or some closed cell foam, backed up with something to keep it in place, and pour it. Thinset doesn't like to be applied that thick. A medium bed mortar could, but then you'd end up with another bag of stuff you didn't need to dispose of the remainder. Thinset isn't a great leveler, but I have used it when things only need a small amount, and it does work. Prefer not to use it on a floor, as it isn't as strong when thicker. Not really as big a deal since the load is spread out over a large surface, but still, it's not designed for that, so why chance it?
If you had a taper jig, you could make some tapered shims cut from a 2x material full length, spaced maybe every 6" or so to create a level surface, then screw and nail them and the new sheet in place. It's hard to make them nice and consistent, but it's doable with the right tools.