Take a look at this Apple article about using VoiceOver on the shuffle
in particular, the parts labeld Changing playlists and To choose an item from the playlist menu.
So, I think you press and hold the VoiceOver button (on the shuffle) to hear the list of playlists. Select the playlist you want, which in your case is an audiobook.
I have one of those shuffles too. The 1st and 2nd gen shuffles were designed to work like single playlist. You can either play the items in playlist order, or in random order (shuffle mode).
So, you can do the following. Put all the items you want on the shuffle, including the audiobook. Select the shuffle in the sidebar so that its content listing is shown to the right. Drag the audiobook to the top of the list, so that it is the first item in the playlist order.
Now, when you use your shuffle and want to listen to the audiobook instead of songs, put the shuffle's switch in play-in-order mode. Triple-press the center button. That will take you to the first item of the shuffle's playlist, which will be the audiobook.