In this paper, we study the pulse shaping for delay-Doppler (DD) communications. We start with constructing a basis function in the DD domain following the properties of the Zak transform. Particularly, we show that the constructed basis functions are globally quasi-periodic while locally twisted-shifted, and their significance in time and frequency domains are then revealed. We further analyze the ambiguity function of the basis function, and show that fully localized ambiguity function can be achieved by constructing the basis function using periodic signals. More importantly, we prove that time and frequency truncating such basis functions naturally leads to approximate delay and Doppler orthogonalities, if the truncating windows are periodic within the support. Motivated by this, we propose a DD Nyquist pulse shaping scheme considering signals with periodicity. Finally, our conclusions are verified by using various strictly or approximately periodic pulses.