Same happened to me on a secondary computer of mine, and I thought it was a keyboard error. I don't know though... Is it only with Reimu in your case? For me it was with whatever characters; Shift, Y and the Right arrow didn't work at the same time.
This is likely a keyboard specific problem. Try using another keyboard?
This is probably a key rollover problem. Most cheap keyboards have this. You can fix this by either buying a better keyboard, or remapping the keys touhou uses. Shift and Control are good keys to be pressed at the same time as others. For example I'm using Ctrl=Fire, Shift=Focus in Imperishible Night.