An argument can be made that in the narrative of "The Shawl," the baby Magda is the protagonist.

A working definition for Cynthia Ozick's character named Magda as the protagonist is as follows:

A protagonist is a very important tool used in developing a story.... Regardless of what title you give a protagonist, s/he remains the key ingredient in the development of the story, which is why the story revolves around him/her. [https://literarydevices.net/protagonist/]

Certainly, the baby Magda is the focus of the attention of other key characters in Ozick's narrative. The mother named Rosa hides her baby inside her clothing between her breasts, keeping watch on her under a shawl:

She looked into Magda’s face through a gap in the shawl: a squirrel in a nest, safe, no one could reach her inside the little house of the shawl’s windings.

Rosa tries endlessly to protect her baby from detection, assuring that the shawl is always there for Magda to suck upon and remain quiet. However, one day the niece named Stella looks at Magda who has blue eyes, blond hair, and fair skin. Aloud Stella pronounces "Aryan," and Rosa notices how Stella gazes at Magda "like a young cannibal." To Rosa, it is "as if Stella has really said, 'Let us devour her.'”

Stella, thus, becomes the antagonist, the character who is against Magda. Moreover, Rosa is

...sure that Stella was waiting for Magda to die so she could put her teeth into the little thighs.

One day Stella steals the shawl, insisting that she is cold. Then, because she cannot find the comforting shawl, a wailing Magda walks on faltering legs into the lighted square outside the barracks in search of it. Rosa watches her, amazed at the sound of her child's voice which has been silent for so long. The mother is also frightened terribly.

[S]he saw that Magda was grieving for the loss of her shawl, she saw that Magda was going to die.

Desperately, Rosa rushes inside and grabs the shawl away from Stella, who is sleeping on it. When she goes back outside, a terrified Rosa sees her tiny child being carried by

...a black body like a domino and a pair of black boots [that] hurled themselves in the direction of the electrified fence.

The innocent Magda is killed, a tragic victim of Stella's selfishness and the horrors of the concentration camp.

Rosa is the protagonist in the story because most of the events revolve around her. She plays the role of the leading character who witnesses the murder of her infant child, Magda, by the Nazis during the holocaust. The story begins by describing Rosa’s suffering on a forced march during cold weather. She is on the march with her infant daughter and her niece, Stella, who at times takes care of Magda. They all arrive at camp and Magda begins to walk, but Rosa is forced to hide her from the German soldiers. On one fateful day Magda wanders outside the camp. Rosa attempts to get to Magda and return her to the safety of their barracks but unfortunately a German soldier gets to the child first. The soldier kills the baby by throwing her onto an electrified fence. Rosa, together with her niece, survives the holocaust but she is unable to move on and imagines Magda to be alive.