I'm level 40 X-Box. I need a black soul gem to complete a shrine quest. I don't remember if there is a special vendor. If not, where can I get one?

You can sometimes find them on Necromancer Adepts. if not you can make them at Dark Fissure

If you do Meridia's Daedric quest (or just clear the location where it takes place), you might come away with some. I usually do Meridia's quest before Vaermina's for this reason.

It's dramatically easier and faster, to make your own. I go to Dark Fissure, wait for the Shade of the Revenant to occur, bring my empty Grand Soul gems, and boom.

Dark Fissure's not the only altar, and it's the hardest to reach (the first time, thereafter use fast travel). Fort Linchal, or Fort Istirus are easy to reach, and Wendelbeck is not too hard either. Same day, same procedure.

So if you haven't done the Mages Guild quest to go to Dark Fissure, use one of the others. It works even if you haven't started the MG quests.

Ain't forgetting one thing. Cast a spell at the alter.