There aren't as many interviews with Robert Shea as there are with Robert Anton Wilson. But there are a few good ones.
I recently discovered an interview with Robert Shea I had wanted to read for awhile was available on the Internet.
Neal Wilgus interviewed Shea for the fall 1985 issue of "Science Fiction Review," a once-famous SF fanzine published by Richard Geis, and I ran across the fact the issue is available for downloading at the Internet Archive. You can find it there if you search, but after I share the news with Mike Shea, he posted it on the BobShea.net website, he posted it, so here's the link to the PDF.
It's a long and meaty interview, with discussion of many topics, here is a small bit:
SFR: What contemporary authors do you get the most out of reading?
SHEA: The list is continually undergoing revision as my taste changes and my reasons for reading change, but John Fowles, Romain Gary, Norman Mailer, Yukio Mishima, Vladimir Nabokov, George Orwell, Thomas Pynchon, J.R.R. Tolkien and Robert Penn Warren seem to have taken up permanent residence in my literary pantheon.
Another Neal Wilgus interview with Robert Shea is included in a collection of Shea's work provided as a PDF at BobShea.net. The first article, "Why I Am a Right Wing Anarchist" by Robert Weston, identified as being by Shea, is actually likely written by RAW. But the piece that comes next is another Neal Wilgus interview with Shea, this time published in Outworlds, another well-known fanzine at the time, in an issue dating back to 1976.
I had wanted to know for years who the book editor was who bought Illuminatus! for Dell, and it was this interview that gave me my big break -- I learned that it was Shea's good friend Bob Abel. (See my article about Bob Abel, which tells you as much as I was able to learn about Abel.) It's also a pretty good-sized and useful interview.