On the 3rd and 4th gen shuffle, podcasts are treated as playlists, with the podcast episodes as the items (like songs) on the playlist. If you have only one episode from a particular podcast, that's the only one that plays, until you change the playlist. When playing the shuffle, you select the playlist (podcast) by using the VoiceOver feature. This document explains how to enable and use VoiceOver on the shuffle
iPod shuffle (4th generation): Enabling and using VoiceOver - Apple Support
See sections, Changing playlists and To choose an item from the playlist menu.
NOTE: If you want podcast episodes to play consecutively, in a desired order, you can create and maintain a playlist (with the podcast episodes you want on the shuffle) in iTunes. Then, set iTunes to automatically sync that "iPod Podcasts" playlist to the shuffle each time you connect your shuffle to iTunes. If you want more info on how to do that, please post back.