You basically reiterated your original question.
I'd say yes, she is likely to give up if you act too shy/in-confident. You already are having wishful thinking that you are SO attractive that women are just going to walk up to you and start chatting you up, and
then stick around dealing with your shyness because you are such an irresistibly gorgeous man. Just sayin'..
I think it's a fair assumption that you had some attractive woman approach you at random, seemed interested at first, and then suddenly had some kind of excuse, and you're confused by this. My advice would be to stop trying to figure out what women are thinking. Second piece of advice, build some confidence. If you're asking questions similar to this, and openly admitting to being shy, it sounds like you have some confidence work to do.
Good luck man!