The time of death was 4:30 a.m. Sunday.
Shah had attempted suicide twice in the prior week, friends told police.
The actress had reportedly been battling AIDS for the past 10 years and recently completed work on a film about her sex change titled "A Step Ahead." The film was co-written by Dimitris Berylese.
Two friends were staying with Shah at the time of her suicide, although they were unable to stop her from jumping. Prior to the suicide, a neighbor reported hearing an argument between Shah and an unidentified man.
Friends and business associates said that 36-year-old Shah led a difficult life, although she was on the verge of turning things around and had enrolled in a filmmaking class at New York University.
Shah, a native Mexican, starred in three porn films during her career and operated two successful paysites, SusanShah.com and PrincessShah.com, where she was active in keeping fans up-to-date on her life.
Shah was scheduled for an appearance at Club Shelter in Manhattan on Friday, Oct. 17.
Shah made an appearance on the "Maury" show with Maury Povich in 2002 and was a cover girl for trannie magazine "Simply Gorgeous."
