If your shuffle is 3rd or 4th gen (not 1st or 2nd gen), you can put playlists on the shuffle and play songs from the playlist. You may be playing songs from the All Songs list.
You can create a playlist with only the songs you want on it, and switch to that playlist using the VoiceOver button (press and hold). This article provides more information about using VoiceOver on the 4th gen shuffle
If you are playing from a playlist with songs from an album, it should not go to the "next album."