I wonder if teflon coated shoes would be effective, if rubber are not?

No. You have to consider the distance through air. Electricity will still take the path of least resistance which, even if you're wearing rubber or teflon shoes, is still just a couple of centimeters out of the shoe and to the ground. As the article points out: the lightning just traveled a kilometer to get to you, so why would it care about a few centimeters or inches or meters of insulating material when it would just hop through the air around it and to the ground.---

--- I suppose that you could argue that a really large teflon pad would increase the aggregate resistance (through your nice, self-contained ocean and then over the large teflon pad) to such an extent that the lightning would pass by you and ground directly, but those would be giant shoes and the little gap between them would probably defeat the whole purpose of wearing giant teflon snow-shoes.