Maybe because of being newbie in physical casinos that's why you have a shyness in gambling. I am also shy especially if there are a lot of people watching you when you play especially when they look at you because you are new to that place. I think it is normal with casinos but eventually your shyness will gone after all.
I think it is more to nervous instead shy when people around you watching the game .But if you really do then it might because shyness to meet new people , things can go wrong if you talk to someone etc.
try to do a small talk and you will think that socialize won't make you feel that way anymore.
Anyways, socialization can help us overcome our shyness.