Press and hold is the command to have VoiceOver say the playlist menu. All Songs is the default playlist, with all the songs currently on the shuffle. If you did not load any of your own playlists (or other lists such as podcasts and audiobooks) to the shuffle, then All Songs is the only choice on the VoiceOver playlist menu.
This document explains how to enable and use VoiceOver on the shuffle.
If you load playlists on the shuffle, the press-hold command has VoiceOver saying "All Songs" followed by the names of loaded playlists in alphabetical order, followed by other lists such as podcasts and audiobooks (if loaded).