Hello from Georgia,
I must agree with Greybeard and say that shooting it may not be a great idea. I will relay another idea that some folks will say is not really smart, but I have done this in the past with great,(and painless) results. If you are a brave soul, and enjoy fishing, you should remove the nest ...........INTACT. Simply approach the nest after dark on a cool night, wrap the whole thing in a black trash bag and tie the bag tightly as you remove it from your chimney. There will likely be some mad hornets, so work quickly. As soon as you have it tied up, you can either put it in the freezer for a few days, or as I prefer, let it stay in the direct sun for a day or two. After there is no more buzzing from within, you can open the bag, gently dismember the nest, gather all the little grubs and have a great day fishing. These are some of the best bream baits I have ever used. I have a few complete nests that I have gathered and after spraying the outside with a eurathane sealer, they do last a long time. Just be careful while removing it, and all will be fine. If you do decide to shoot it.....................45/70 all the way !!!
Dave