Does anyone know of any ROTTMNT fanfiction where Leo and Donnie talk about the time Donnie gave him a shock collar?

I'm sorry, but I couldn't find any specific fanfiction that fits your description. However, you may want to try searching on fanfiction websites or forums dedicated to ROTTMNT fanfiction to see if anyone has written a story like that.

There is no evidence of Leo and Donnie ever having a conversation about a shock collar in the Rise of the Teenage Mutant Ninja Turtles (ROTTMNT) TV series or any official related media.