Make sure the USB docking cable is fully inserted into the headphones jack of shuffle, as shown in this document
iPod shuffle (4th generation): Not seen in iTunes - Apple Support
Otherwise, if the shuffle is properly connected, its light should be ON while connected, either blinking or solid (depending on the iPod's sync setting).
If your Mac is a laptop, connect its power adapter so that it's not running on battery power.
If there are are other USB device connected at the same time, disconnect all other devices, and connect iPod to a direct USB port on the Mac, by itself. (You can leave standard USB keyboard/mouse connected, if used.)
If the shuffle's power switch is in the ON position, disconnect shuffle, move power switch to OFF, wait at least 10 seconds, then connect it again.
If the Mac has been running without a restart for a while, shut down (power off) the Mac, then start it up, run iTunes, and connect shuffle again.
If you can't get it to connect (so that its light comes ON at least), it's possible that the USB docking cable is faulty, but you should have your shuffle checked. All 4th gen (2015) iPod shuffles should still be covered by warranty. You can make a reservation at an Apple Store Genius Bar (if you have a nearby Apple Store) using the store's web page
https://www.apple.com/retail/
or contact Apple customer support
https://www.apple.com/support/
If less than 90 days of ownership, you are eligible for telephone tech support, according to
https://www.apple.com/contact/