Different trigger methods cannot be combined directly (I.E. by using a combination of "When I" options; those function independently), but you could set up a command to trigger off of one, then check for the other.
As the second part of your combination is the left mouse button, which you're presumably going to use more often than the left Shift key, you may want to have the command trigger off the latter, and wait in a loop for the former.
E.G.
Start Loop While : Keyboard Key 'Left Shift' Is Pressed
Begin Device State Check : Left Mouse Button Is Pressed
Write [Blue] 'Left Shift + left mouse button detected' to log
End Condition - Exit when condition met
End Loop
The main alternative would be to do it the other way around, and have the command trigger off of the left mouse button then check whether the left Shift key is pressed, which doesn't require a loop but would trigger the command every time you click the button.