The large surface-to-volume ratio of GaN nanowires implicates sensitivity of the optical and electrical properties of the nanowires to their surroundings. The implementation of an (Al, Ga) N shell with a larger band gap around the GaN nanowire core is a promising geometry to seal the GaN surface. We investigate the luminescence and structural properties of selective area-grown GaN-(Al, Ga) N core-shell nanowires grown on Si and diamond substrates. While the (Al, Ga) N shell allows a suppression of yellow defect luminescence from the GaN core, an overall intensity loss due to Si-related defects at the GaN/(Al, Ga) N interface has been observed in the case of Si substrates. Scanning transmission electron microscopy measurements indicate a superior crystal quality of the (Al, Ga) N shell along the nanowire side facets compared to the (Al, Ga) N cap at the top facet. A nucleation study of the (Al, Ga) N shell reveals a pronounced bowing of the nanowires along the c-direction after a short deposition time which disappears for longer growth times. This is assigned to an initially inhomogeneous shell nucleation. A detailed study of the proceeding shell growth allows the formulation of a strain-driven self-regulating (Al, Ga) N shell nucleation model.