Police arrived to find Sheppard allegedly restraining Mr Palmer on the floor.
Mr Palmer, a former boyfriend of Miss Marston, was arrested but within minutes his condition deteriorated and by the time an ambulance arrived he was dead.
An out of district investigator has been appointed to head an police enquiry into Mr Palmer's death because it occurred while in police custody and the Independent Police Conduct Authority has been notified.
Sheppard and Miss Marston's 2-year-old son Marley suffers from cancer.
She went public with their son's plight earlier this year and the 21-year-old received more than $40,000 in donations and a car to help with her financial hardship.
At the time she told another newspaper Marley's father had walked out.