It doesn't have "voice commands," where you give commands to the shuffle using your voice. It has VoiceOver.
VoiceOver is used by the iPod to tell you things, such as the name (and other info) of the current song, the name of the playlist (when switching playlists), the name of audiobooks and podcasts, etc.
Here's more information about VoiceOver on 3rd gen iPod shuffle
The manual has instructions for using VoiceOver