Are these podcasts from two different Podcast series? If so, you'll need to navigate to the second podcast by changing playlists via VoiceOver. To do this, see changing playlists in this Apple support document.
Hot ****. I've been digging around for a while to solve the same issue and Apple's Podcast Guide just wasn't clicking. I didn't realize that iTunes and the Shuffle were putting the different podcasts (podcast meaning the series, not the particular audio file) into their own playlists. I'd say that it worked like a charm, but I guess there wasn't anything broken with iTunes to begin with.