Most of the casinos giving you the feeling that you are at home, everybody accepts you and care about you, which in fact all they care about is take your money.
if Shyness blocks you from gambling then go ahead, whatever blocks you from gambling is acceptable.
It is not a psychological problem, being shy on playing gambling is just because we don't wanted to make a bad image on our friends or even to our love ones, and also add that we just don't want to disappoint ourselves on whatever the result is. And don't you think that it is a advantage for a certain individual if he is shy on playing gambling, that way, he could prevent himself to lose his money on betting.
People should not comfortable when it is not legal in their local areas and this makes them to feel shy. Even though they have intention to gamble but by bothering about they feel shy playing gambling. So it is always good to quite if you feel shy about gambling.