Which shuffle model do you have? This article shows the four types (4th gen is current)
For the 4th gen shuffle, if the audiobooks are categorized as "books" in iTunes (not as "Music"), they should be listed along with the "menu" of playlists when you press and hold the VoiceOver button.
This Apple article has information about using VoiceOver on the shuffle
In particular, see Changing playlists and To choose an item from the playlist menu.