I have been searching everywhere for a wicker or rattan lamp shade and have had no luck. Searched stores and on the internet. Any suggestions?

Instead of looking for a lampshade, try looking in the bath shop for a wastebasket that you can turn upside down to convert to a lampshade.

Sounds like a potential fire hazard to me, perhaps that's why you can't find them!

I found some great rattan hanging shades by Uttermost. The Great Indoors carries them, some in stock, some by special order. Some lighting stores also carry Uttermost. Good luck.