First, welcome to the forums!
The combat shotgun requires a pump between each shot. The pumping takes the place of a reload action ('r', or right click on yourself) or you can move a tile to get the pump to happen. In order to start reloading, it must be pumped first, and then you can start loading shells in (1 at a time for each press of 'r' or all at once with 'R', but loading all at once takes just as much time as loading each individually, so be careful.)