The purpose of Lockdown Mode is to further protect your device during normal operation, not really in an emergency: About Lockdown Mode - Apple Support. But I can understand why one would want to turn it on in some circumstances.
If you want to prevent someone to unlock your iPhone with your face, press the volume up and side button for 5 seconds until you see the “Slide to power off” screen. At this point, you can cancel (or not) the shutdown. Either way, your iPhone will then require the passcode.
Otherwise, you cannot create a shortcut that actually turns on the Lockdown Mode but you can create one that brings you directly to its settings. In Shortcuts, add the “Open URLs” action and paste the following in the URL variable:
prefs:root=Privacy&path=LOCKDOWN_MODE
The shortcut will look like this (I edited the shortcut title and its icon):

Then add the shortcut to the Control Center: Use Control Center to run shortcuts - Apple Support.
Here is the complete shortcut if you want to download it: Open Lockdown Mode Setting.