I agree with the comments here. I think shy is a term used to maybe describe someone who is reserved and would prefer to avoid attention on them, but if they can't avoid it they can still cope ok and get through the situation, whereas social anxiety is more of an extreme where people want to avoid certain social situations and find it so hard to cope and perform if they can't avoid it because they get so anxious.
I feel a lot of these terms are so closely tied, such as low self esteem, low self confidence, shyness, social anxiety, etc. I believe I have 'social anxiety', but my social anxiety would be overcome if I had confidence in how I look. I just feel so ashamed and self conscious of how I look. I seem to spend my who life hiding how I look and wanting to avoid people looking at me. If it was ok to go around with a paper bag over my face I would do.