You will need at least three conductors. But you'll only need two of them to be inside the same shield, according to your schematic. And you could probably do it with two separate single shielded conductors, if you simply connected the shields together at the circuit end (to the "Shield Drive").
Shielded dual twisted pair might be good. Or maybe you would want the shielding to go all the way to each arm. So you might want to experiment with using a piece of the shielded cable for each of the three electrodes, and driving all of the shields in parallel (or at least the two for the arms), with your "Shield Drive" output from the lower middle OPA336. (The patient end of each shield would be unconnected.)
You'll probably want the kind of shielded cable with a "drain wire" built in, for the shield connection. You don't say where you live, but in the USA, places like Home Depot aYnd Radio Shack and probably many other chain stores would carry shielded twisted pair cable, with a drain wire, for telecom and computer networking and other uses.
Simple ECGs use the differential signal from the two arms, for the display, and use the leg as the ground.
ECG circuits depend VERY heavily on the common-mode rejection of the instrumentation amp, which usually needs a high gain. The signals from the heart that make it to the electrodes' wires are on the order of 1-5 mV in amplitude. But the body has common mode voltages swinging 1 or 2 Volts. And the body is also a wonderful antenna for the 60 or 50 Hz from the power system. Apparently you need a CMRR of at least 100 dB, to get <= 1% error in the output.
I didn't immediately grasp how the lower part of your circuit works. But it looks like it drives the shield at the mid-scale voltage of 2.5 V, and it looks like it might center everything around that voltage.
Here are the first couple of google results that caught my eye:
http://www.cisl.columbia.edu/kinget_group/student_projects/ECG Report/E6001 ECG final report.htm
http://www.scientificamerican.com/article.cfm?id=home-is-where-the-ecg-is&page=1
I'm sure that there are lots more good ones, if you can't figure something out.
Make sure that you use a small e.g. 0.1 uF cap from right at every power oin to ground, plus a 10 uF cap from every power pin to ground.