What would happen to Jessica if she told Shylock of her plans to leave his house, marry Lorenzo and become Christian?
Good question. We don't know the precise answer, of course, but we can perhaps make some suggestions based on what we are told about the characters in the play itself.
We know that Jessica hates living with her father, and that her escape is partly to escape from their life together: she tells Launcelot
I am sorry thou wilt leave my father so;
Our house is hell, and thou, a merry devil,
Didst rob it of some taste of tediousness...
She's bored! Later in the same scene, she admits that she is ashamed of her father, and longs to escape: she is
...asham'd to be my father's child!
But though I am a daughter to his blood,
I am not to his manners: O Lorenzo!
If thou keep promise, I shall end this strife
Become a Christian, and thy loving wife.
We know too that Shylock's reaction is to cry out in the streets - though he is, admittedly, upset about his money as well as his daughter:
My daughter!—O my ducats!—O my daughter!
Fled with a Christian?—O my Christian ducats!—
Justice! the law! my ducats, and my daughter!
A sealed bag, two sealed bags of ducats...
Shylock is furious when he discovers - and so, if she did tell him of her plans, would probably never let her leave. Simply put, I think telling Shylock of her plans would put an immediate end to them.