Hi there Spookycatboy,
Welcome to Apple Support Communities.
Currently, there is no way to set a play order with playlists. The only options available are listed here: iPod shuffle User Guide
"Set iPod shuffle to shuffle or play songs in order
You can set iPod shuffle to shuffle songs or play them in the order in which they’re organized in iTunes. When you turn on shuffle, books, podcasts, and Genius Mixes aren’t shuffled; they play in their iTunes order.
Set iPod shuffle to shuffle songs: m Slide the three-way switch to shuffle . To reshuffle songs, slide the three-way switch from shuffle to play in order and back to shuffle again.
Set iPod shuffle to play songs in order: m Slide the three-way switch to play in order . After the last song plays, iPod shuffle starts playing the first song again."
Feel free to reach back out if you have any questions.
Best regards!