Looks OK to playtest, needs some technical clarifications
Power
This effect seems strong but relatively balanced. Shield just costs a first level slot, and Misty Step a second level one, so you add the cost of an extra level for combining both of them in one action. But these also are two of the best spells in the game, in my expereince, both among the most picked ones on their spell level out of all the spells.
This also acts as a stand-in for Absorb Elements. That is another 1st level spell that is very good, more useful really than the 3rd level Protection from Energy, and you can get a very similar effect of likely resisting damage (or with the right features, entirely avoiding it) from an area spell as a reaction. So in total you now already have four levels worth of great spells, all rolled into one. It is very flexible, and flexibility has a power all of its own.
You probably still would prepare shield, in addition, as it is so cheap on level one (it likely is in the running for best spell in the game, next to Counterspell), but this one can save you several preparation slots, and those also always are valuable.
There also can be situations, where teleporting away is not really needed (for example, after getting fireballed in a dungeon environment, there may be no good place to avoid another fireball), although in most cases where someone got up close and personal to hit you, you probably do want to teleport away -- and doing this after the benefit of Shield with a reaction before the opponent gets to make the rest of their attacks can be very powerful. That is only applies to the first attack may not matter then, as you are not in reach any more for the follow-on attacks, and can try to pick a space they will not be able to reach.
I would playtest this -- I cannot think of a directly comparable existing effect, which means how this plays out in practice can turn out to be a surprise. If this was available to my wizard, I would pick this to see how it works out in practice.
Clarifications
Firstly, spells that can be cast as a reaction need to provide detail on what can trigger that reaction. For example, Shield says
Casting time: 1 reaction, which you take when you are hit by an attack or targeted by the magic missile spell
or Feather Fall says
Casting time: 1 reaction, which you take when you or a creature within 60 feet of you falls
So just "1 Reaction" will not work. Looking at your background information and description, it sounds as if the following might be what you have in mind:
Casting time: 1 reaction, which you take when you are hit by an attack or have to make a Dexterity saving throw
Shield is very special, in that its reaction allows you to retroactively avoiding the trigger. Normally, reactions resolve after the trigger has been resolved, which would not work here. Your spell is meant to work the same way. I would probably also reword the the section about damage, to say
"You take damage from the attack if it hits you, and the effect that causes the saving throw is resolved using your improved Dexterity, then you teleport ..."
There may be effects that require a Dexterity saving throw that have different consequences than just damage. For example, sleet storm lets you fall prone.