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If an effect causes a creature with changeling to lose all abilities, it will remain all creature types, even though it will no longer have changeling. This is because changeling applies before the effect that removes it.
Changeling is a characteristic-defining ability. It functions in all zones, not only while a card that has it is on the battlefield.
The subtype Shapeshifter that appears on the type line is mostly there to reinforce the flavor. A creature card with changeling is just as much an Elf, a Dwarf, a Sliver, a Goat, a Coward, and a Zombie as it is a Shapeshifter.
You must choose an existing creature type, such as Vampire or Druid. You can't choose card types (e.g., artifact) or supertypes (e.g., snow).
If Bloodline Pretender enters the battlefield at the same time as another creature, you can choose one of that creature's creature types and have Bloodline Pretender's last ability trigger for that other creature.
If Bloodline Pretender is somehow on the battlefield without a chosen creature type, its last ability can't trigger, even if a creature with no creature types enters the battlefield.
If an effect causes a creature with changeling to become a new creature type, it will be only that new creature type. It will still have changeling; the effect making it all creature types will simply be overwritten.
