What skills can kill a hero under the effect of Shallow Grave?
Axe's Culling Blade is the only ability that kills through Shallow Grave. Techies is also capable of killing themselves when under the effect of Shallow Grave by using Suicide. The Shallow Grave ability is also not able to be purged, so there is zero worry other than that.
Some spells will poison/affect you for longer than the 5 seconds that Shallow Grave lasts and thus may kill you as the effect ends if you're not careful.