Praise be to Allah.
With regard to the phrase “There is no shyness [haya’] in religion”, it is wrong. Rather haya’ is part of religion. The correct thing to say, for example, is that “Allah is not too shy to tell the truth,” as is mentioned in the hadith of Umm Salamah, who said that Umm Sulaym came to the Messenger of Allah (blessings and peace of Allah be upon him) and said: O Messenger of Allah, Allah is not too shy to tell the truth; does a woman have to do ghusl if she has a wet dream? The Prophet (blessings and peace of Allah be upon him) said: “If she sees water (i.e., a discharge).” Umm Salamah covered her face and said: O Messenger of Allah, can a woman have a wet dream? He said: “Yes, may your right hand be rubbed with dust [; how else would her child resemble her?” Narrated by al-Bukhaari and Muslim.