Is the word shy a pronoun?

No, the Word 'shy' is a verb (shy, shies, shying, shied) and an adjective (shy, shyer, shiest).

Examples:

Don't shy away form the difficult problems. (verb)

The shy child peeked out from the doorway. (adjective)

A pronoun is a Word that takes the place of a noun in a sentence.

Example: The shy child peeked out from the doorway. He had to see what way going on.

The pronoun 'he' takes the place of the noun 'child' in the second sentence.