"Shy" in that context means "close to, but not there" and is actually an adjective. Example; "The girl is shy." (adjective 1 meaning stating timid, scared, isolated, ect.) Context of question; "I think you were shy a few credits" can be rewritten as "I think you were short a few credits/I think you don't have enough credits". In this form, "shy" means that you have an amount of something, but just not enough to attain a goal, but close. For example, if I want to buy the new Zelda-Skyward Sword game and it costs $60 and I only have $55 or $58, I could say "I am just shy of $60" meaning I have a close amount, but not what I need. I hope this helps.

Your interpretation is correct. The dictionary analyzes it as an adjective: "Eleven is one shy of a dozen." You could replace it with "short". You could also say, "I think you were lacking a few credits." Yes, the usage is common.

He was one brick shy of a load. He was three bricks shy of a load. = he is not very smart, or could be used for someone a little crazy.