Thank you very much for taking Shadow into your home. It sounds like you have gotten a dog that has had very little, if any, training and did not spend a lot of time with people or other animals. At least, since he came from your family, you know some of his background, whereas many new dog owners whose dogs came from shelters or rescues don't know much about their dogs. So you are a step ahead.
It's not uncommon for a dog NOT to know his name or what it means. Ideally, a dog should look at you when his name is called - not come. The name should be used to get his attention, and then the word ("come") should tell him what to do.
Since he doesn't know his name now, I would start by playing the "name game" to get him to learn that name = looking at you. The best way to train this is with some really good treats and in a place with no or few distractions. The kitchen is a good place - my dogs love to watch me cook and I always have their attention in the kitchen. (I might drop food, after all!)
Take your treats - something really yummy is best, like cut-up hot dogs or string cheese - and call his name. As soon as he looks at you, throw him a treat or hand him a treat if he is close enough. Repeat. Lots. Then do it in other parts of the house and outside until you have a solid response to his name ("solid" meaning, he looks at you 9 out of 10 times).
If you want him to learn to come, work on it ONLY when you have a way of MAKING him come - like a leash or long line. A command that cannot be reinforced is useless because you're just teaching your dog that obeying is optional, not required. Start "come" by having your dog on a leash, stepping back to the end of the leash, and calling him. You can show him a toy or treat to get him to come. You can stomp your feet, clap your hands, etc. But only say the command ONCE. When he comes, praise and reward him. Repeat this A LOT, then work on it with a long line (30ft or longer). Repeat a lot on the long line until the come is sold. Then work on it off-leash.
A lot of obedience is easiest trained if you use a clicker. A clicker MARKS the exact behavior you want when it occurs. Because a clicker ALWAYS sounds the same (same tone, same length, etc.) it's very clear to the dog when you are marking. If you want to use a clicker, your dog must first understand what the clicker means. The clicker means "you did that right AND a reward follows." To get the dog to understand that, you have to "charge" the clicker, get the dog to associate click with a reward. That's easiest done by having a hand full of treats and simply CLICK - treat, CLICK - treat without the dog doing anything. Repeat a TON of times before ever using the clicker to mark a behavior.
As far as play goes ... I don't know how long you have had Shadow, but some dogs take some time to warm up to a new place and new people. Some dogs just don't like to play. Some dogs like certain toys but not others. And some dogs have to be taught to play by seeing other dogs play or being engaged in play at times when they are naturally more excited (like when you get home).
As for "out" - most of us here use "out" to get the dog to release a toy.
You can use it to send him out of the room, but make sure you use it consistently for that and not for any other purpose (such as giving up a toy) because that would be confusing.