It is certainly possible. This may not have to do with his unique circumstances of prematurity - You may have had some of thsese issues anyway. Nursing is not easy for many or most women and you were thrown an extra curveball. I would stick with it.
First, consider seeing a different lactation consultant. I also wouldn't rely on the hospital nurses if they gave lactation instruction, since many of them are not very good at it. A second opinion is a great idea.
I don't know what you were told, but I have heard that nipple shields can interfere with nursing, so I would seek a different approach. I myself was a candidate for a nipple shiled, but was advised against it. The key is really getting the right latch. Once you have it, you'll know it - no pain. However, learning a latch can hurt because of repeated irritation. Google "All Purpose Nipple Ointment" and ask your OB for a prescription.
Also, I would always "lead" with nursing - You need him to drain the breast thus increasing your supply and flow. I suggest that you try to nurse first at every feeding and follow with the bottle if he seems hungry. You should never feel bad about giving a hungry baby a bottle of formula, but you do want him to rely on your breast first and forremost, or your supply won't satisfy him.
Personally, I owuldn't waste time and money trying bottles. I don't think it matters, personally. But in your case, you want him to take the breast - not encourage him to take the bottle, which is why many BFing moms use the nipple based bottles.
Good luck. I hope it works for you. Even if you only nurse once a day, you will have a lovely experience and be giving him many of the benefits of breastfeeding. I have heard of adoptive moms starting to lactate and learning to breastfeed - a little weird, but if they can do it, I imagine you can too.