NightShift runs on a router, and the router needs to be plugged into another router, a modem, etc using an Ethernet cable.  If you only have wifi available, e.g. if you get your Internet from a hotspot device that doesn’t have any Ethernet ports, then you can buy an Ethernet to Wifi adapter to make NightShift work with this.  We have tested this one and recommend it for this purpose.

IOGEAR Ethernet-2-WiFi Universal Wireless Adapter, GWU637