Pictured in this graph: what xG does to a motherfucker.
It thought this graph was super interesting as it is a near-perfect illustration of when data analytics and advanced statistics started to enter into football (2014-2016) and some of the effects it's had on the game.
The article does show that the proportion of goals scored from outside the box has decreased, so the average distance will have decreased. It is true, however, that this line is somewhat flatter than just the shot graph, meaning some amount of the distance shots that have disappeared were impossible potshots that would never have been goals anyway.
This is another article on the subject, but only focused on the Premier League. It shows that while average shot distance has decreased, conversion rate and goals per game has increased.
So my suspicion that the 'efficiency' of shots has gone up with the introduction of data analysis seems to be true. I just hope that we don't completely lose worldies from outside the box in a decade or two