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.
Lets just say if they start enjoying the game, what good would that bring them financially ? Can it save the money that is destined to be lost by the end of the bet ? Absolutely not. The truth is, no matter what a gambler is trying to get out of this ridiculous game, threat of being ruined financially lies. That is why I think a person should try to avoid this game as much as he can. It can be a pain after some times of engaging with it.
We may make use of shyness to come out of gambling. Because we just need some reason to come out of gambling which is similar to most gamblers are needing some reason to continue it. If the reason is good enough (it will be more effective when it is linked with personal things like shyness) then we can easily quit it.