The following example demonstrates checking if the Shift key is pressed during a menu item selection. The example presents functions for testing the status of the Alt, Ctrl, and shift keys. Example:

function CtrlDown : Boolean;
var
  State : TKeyboardState;
begin
  GetKeyboardState(State);
  Result := ((State[vk_Control] And  28) <> 0);
end;
function ShiftDown : Boolean;
var
  State : TKeyboardState;
begin
  GetKeyboardState(State);
  Result := ((State[vk_Shift] and  28) <> 0);
end;
function AltDown : Boolean;
var
  State : TKeyboardState;
begin
  GetKeyboardState(State);
  Result := ((State[vk_Menu] and  28) <> 0);
end;
procedure TForm .MenuItem 2Click(Sender: TObject);
begin
  if ShiftDown then
    Form .Caption := 'Shift' else
    Form .Caption := '';
end;