Most games should intercept that key combination so Windows doesn't respond to it.
As you mention "instead", have you made sure the command is actually targeting the game?
If the targeting is set correctly, but the issue persists, consider assigning a key combination that isn't Win-Shift-S
If you actually haven't assigned the combination Win-Shift-S, that would indicate a key is remaining pressed down somewhere. In that case, make sure your keypress actions use the "Press And Release Key(s)" option. Using the "Press Key(s)" option means the key(s) remain pressed down.