"Shotgun shells" refers to the ammunition used in shotguns. They contain multiple small metal pellets (shot) or a single projectile (slug) along with gunpowder, which is fired from the shotgun when triggered. Full definition
And when the rock music does kick in, it perfectly fits the action of running around a room while launching rockets and shotgun shells at a dozen demons. (xboxexclusive.com)
On the other hand, I killed a lot of players who were trying to run at me from hilarious distances, only to get a premature shotgun shell to the face. (darkstation.com)
While we can't tell you much about it yet, we can say that it will be coming to PS4 and have the absolute cutest shotgun shells you've ever seen. (blog.us.playstation.com)