E. Cobham Brewer 18101897. Dictionary of Phrase and Fable. 1898.
Shot Window (A)
i.e. shot-out or projecting window, and not, as Ritson explains the word, a window which opens and shuts. Similarly, a projecting part of a building is called an out-shot. The aperture to give light to a dark staircase is called a shot window.
Mysie flew to the shot window . St. Mary! sweet lady, here come two well-mounted gallants.Sir W. Scott: The Monastery, chaps. xiv. and xxviii.