Suffice to say you need a 75 ohm coaxial cable (often called "video" cable) for the best results in terms of an RCA cable. The shield works fine as the neutral wire, since it should actually be called the earth or ground wire. It is therefore not necessary to shield the neutral wire, but you are very welcome to wrap aluminum foil around the cable insulation and connect it to the so-called neutral wire on one end. Connecting the aluminum foil on both ends of the neutral wire would be like a ground loop, and you don't want that. Adding the foil around the cable will merely give extra protection against Wi-Fi, smartphones and other sources of electromagnetic interference. That is what I was really referring to in my previous post.
Excellent questions, it seems you have indeed read a lot and are implicitly hinting at some deeper topics like Coulomb's law and Kirchhoff's circuit laws. It is actually not necessary to shield the neutral wire, I wrote something unnecessary in my previous post above. The neutral wire should be called the earth wire. That is because it brings the electricity back to the mains outlet and to the earth reference voltage. The so-called earth wire should be called the safety or fault wire, as it only brings electricity back to the mains outlet if there is a fault in the electrical appliance that is a risk in terms of safety.
So it is pretty simple in its essence, like described in previous posts in this thread. You need a neutral wire to complete the circuit, there is also a neutral wire in two-prong power cords (notice that the earth wire is not used there to complete the circuit due to double insulation safety). Options 2 and 3 in the original post are indeed not coaxial cables. They are in reality called twinaxial cables, because the two conductors are a pair, sometimes even a twisted pair (so like twins). So yes, options 2 and 3 are pretty much the same. Triaxial cables have one central conductor, but double shielding. So you could also buy triaxial cables instead, that would just give you twice as much shielding. You can buy RCA connectors and solder the signal and neutral wire to it, but you'll also need a drain wire for this (since the shield is the neutral wire here, so you'll need an extra wire to solder to the connector). You don't have to use RCA connectors strictly speaking, it is not required for the circuit to function (that is to say all RCA jacks and plugs can be removed on some equipment, and the conductors can be soldered directly to the circuit).
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