Actually...... Devon was a shire, being "A portion of Great Britain originally under the supervision of an earl; a territorial division, usually identical with a county, but sometimes limited to a smaller district; as, Wiltshire, Yorkshire, Richmondshire, Hallamshire."

Here's a pretty good explaination. Scroll down and you'll see that Devon was once referred to as Devonshire.

Dorset used to be one too, but their status was changed sometime before or during WWII.

LTS