Did you already load the audiobook manually (by dragging it to the shuffle)? To confirm that the audiobook is on the shuffle...
Select the shuffle in the iTunes sidebar. If the sidebar (along left side of window) is not visible, from the menu bar, under View, select Show Sidebar.
Click the small triangle to the left of the shuffle name (in the sidebar) to drop down its content list, indented below the shuffle. Click on Audiobooks there. To the right, your audiobook(s) should be listed.
NOTE: if you don't see Audiobooks on the content list, there are no audiobooks on the shuffle.
When you turn ON the shuffle, you are playing from the default All Songs list. Audiobooks (and podcasts) do not play from the All Songs list. You need to use VoiceOver to select the audiobook from the playlist menu. This document explains how to set up and use VoiceOver on your shuffle