Find below response to your queries:
1) We want to visit Shirdi , Ajanta Caves and Ellora ( if on the way )
- Jalgaon to Ajanta, Shirdi and then Ellora can be done in route.
2) Need one night stay for sure at Shirdi
- Yes this can be done by night stay on first night from Ajanta to Shirdi and next morning move to Ellora.
3) Boarding Train back to delhi either from Manmad/Aurangabad/Jalgaon ( as per the route )
- Aurangabad remains best nearest option as there are a few trains to Delhi from here.