There is no built-in command for Shift+Delete but there is a solution based on AutoHotkey: (AutoHotkey is a free scripting/automation software that lets you define custom keyboard hotkeys etc)Short explanation:
1. Just download the attached ZIP file attached to this post, extract the EXE.
2. AutoHotkey compiled EXE scripts are not compatible with Windows Defender/Microsoft Security Essentials and cause them to consume large amounts of CPU which nearly makes Windows hang for long periods of time. It is a bug in Defender/MSE. You will either need to disable Defender/MSE completely from its options and use another anti-malware, or you can go to Defender settings and add exclusions for this EXE and/or its path. Excluding this EXE from scanning will prevent the hanging issue.
3. After excluding this in Defender/MSE, create a custom command toolbar button on the Classic Explorer toolbar that links to the EXE. It will send Shift+Delete instead of regular Delete.
Extra technical explanation which you can skip reading:
I have basically made a simple AutoHotkey-based script. (Go here to learn what is AutoHotkey in case you are not familiar:
http://www.autohotkey.com/) The script sends Shift+Delete keystrokes. It's one of the simplest one liner Autohotkey scripts:
Send,{Shift down}{Del}{Shift up}
I have compiled the plain text script (.AHK extension) into an EXE file using AutoHotkey's AHK2EXE compiler. If you don't trust random EXEs, you can decompile the EXE using EXE2AHK to see the original script:
http://www.autohotkey.com/download/Exe2Ahk.exe.