No. I've never felt being shy in gambling but i feel pressure while i am playing gambling and it is normal. Unlike being shy it is not normal in gambling because if you are shy you will never enjoy the game, remember just enjoy the game and no one would be mad to you if you sit in tables as long you will bet or a player.
This is what the gamblers are forgetting now, they forget to enjoy the game as everyone is chasing the profits and losses. The shyness only comes if someone witnessed my losses and that's humiliating when someone actually sees your bad moments in gambling.
I agree it is part of the game, we must enjoy it instead of thinking about what we lose. If we think too much about something I guess it would only make the situation worst. Being shy in inevitable especially if you have your reasons. We all know that we are just doing it for fun because there is no guarantee that you can earn something.