First, make sure you've got a few Shock Arrows handy, as you'll need them to reveal the shrine, and it is easy to miss the shot you'll need to make.
Find a man called Geggle at the Tabantha Bridge stable. He points out a marking on the cliffs in the distance that looks man-made.
We found it pretty easy to get disoriented on our way over to the marking. The area you're looking for is in the Gerudo Highlands.
Use the thermal draft nearby to glide up to the top of the cliffs.
If the lightning symbols surrounding that target didn't make it obvious enough, you'll need to shoot it with your shock arrows. For some reason we found this shot easier to make from the ground, rather than the air (using Rivali's Gale).
This reveals the Keeha Yoog shrine. This shrine is a blessing, so there are no puzzles or Guardians ahead – just open the chest to receive a Diamond.