Kwang Il Kim
No. Per the rules on retreating, the entire Army must retreat. This includes any Characters and/or Leaders in it.
I found it on the rules:
When the attack ends, any surviving units in the attacked Shadow Army must retreat together to an adjacent region — different from the one the attack comes from — following the normal rules for retreat. If the Shadow Army cannot retreat (because it is under siege, or there is no available region) it does not.
Any Minions or Nazgûl in the retreating Army may remain with it or be left behind, at the Shadow player’s discretion.